Why Me?

So The Temp just told me he has a great joke for my act.
"Ok, shoot," I said, as I rolled my eyes towards co-cubicle habitant Mike.
"There is a bathhouse where the changing room is across the street," Temp Boy started. He paused.
"Yeah?" I asked.
Looking at Mike and then me, he responded, "That's it."
Mike and I then looked at each other.
"Is that true?" I asked.
"No, I told you, it was a joke."
Mike explained, "No, it wasn't."

UPDATE: Because he assumed I didn't understand the joke, he drew me a picture. There's a building marked "BATH HOUSE" - a street, with two cars on it - and on the other side, a box, with a sign next to it: CHANGING ROOM.

UPDATE NUMBER TWO: He has a new joke for me...

Q - How many bald guys does it take to screw in a lightbulb?
A - Wrong Question.... A bald guy is a lightbulb.

Just freakin' shoot me.

Rock On,

Aitch