The joke is: A naked blond walks into a bar with a poodle under one arm and a two foot salami under the other. She lays the poodle on the table. The bartender says "I suppose you wont be needing a drink" the naked lady says (at this point Bender falls through the ceiling screaming "oh shit")
I heard Judd Nelson just made it up on the day. There is no punchline as such. Although as he falls through the floor it sounds like he's saying "no sh*t" - which almost works as a punchline