What do we want? More questions!
What do we want?
When do we want them?
This joke circumvents a common call and response chant - "What do we want? / X! / When do we want it? / Now!" where X is whatever the person is unhappy at not having.
The caller (person that started the chant) did so normally, but the responder doesn't say "Now!" at the end, but instead "Thanks!". The reason for this is that the caller asked another question, thus meeting the requirements that the responder set up.
The listener to this joke would find it funny because they expected the statement to end in "Now!", and it didn't.