This joke is simply known as "The Monkey Joke". For best use on your friends, make sure you have trouble telling it due to laughing too much.
So, 3 hunters are walking through the forest. They've been walking for several days and are getting tired, still with no kills.
Suddenly in a clearing, they spot a monkey. He's sitting on a rock deep in thought (for best result, make The Thinker pose).
They walk up to the monkey, "are you ok monkey? Monkeys are generally not great thinkers. What's on your mind?"
The monkey slowly looks up at them and says, "I'm confused".
Commence laughter.