I have an EpiPen...
I have an EpiPen. My friend gave it to me when he was dying, it seemed very important to him that I have it.
This joke is black humor. In this joke, the humor comes from the misunderstanding between the jokester and his friend. The friend was obviously trying to get the jokester to use the EpiPen on him (or her), but somehow the jokester did not understand that, and it is likely that for this reason the friend is now dead.
The jokester is basically making fun of his or herself.