Actually, I don't know why a man would want to be a woman. I mean, he will never be able to bring life into this planet like a real woman. Women are like real-life Star Gates. Interstellar (one-way) teleportation devices. How cool is that ;)
ok, since you are blonde and you didn't get the joke, I will try to explain (maybe even prove by example) why he couldn't just explain it once. Ready?
He could not explain it to one and have that one explain it to another and so on because the premise of the joke is that they are too dumb for that strategy to work. In other words, he could not explain it because that is not how blonde jokes work.
Have you ever seen a slasher movie where there's a psycho going around killing a group of people in a deserted place one at a time? The group always decide to split up and they get whacked. If they were to chose to stay together (since there is strength in numbers) there wouldn't be a movie.
Anyway, a blonde picks up a mirror and says, "Hmmm, she looks familiar." Her blonde friend takes the mirror away and says, "That's me, silly." So..., how long did it take (after you changed your hair color) to recognize yourself ;)
A blind man was going to tell a blonde joke at this bar but three blonde, butch, women walked up to him and told him that they were blonde and capable of kicking his ass. They then asked him if he still wanted to proceed and tell his joke and he said, "Not if I'll have to explain it 3 times." ;)