What do you do when you don't get a joke?

Do you speak right up and say “I don’t get it,” or do you laugh like you do get it so you won’t appear dumb?

Here’s a joke: Two scientists walked into a bar. The first scientist says, “I’ll have some H2O.”
The second scientist says, “I’ll have a glass of water too. Why did you say H2O? Like, I know it’s the chemical formula for water and all, but it’s end of the day and there is really no need to intentionally over-complicate things like that in a situation outside of work.”

The first scientist stars at his drink, angry that his assassination plan has failed.

*************************************************

I DON’T GET IT!!!!!!!!