It's a sexual joke.And then if he/she wanted i would carry on explaining.I don't get what's this post about?
I really couldn't tell which way to vote because this isn't an opinion.
It seems some posts on this site have an implication of some sort. By asking how you would explain it implies that it's difficult to do so, and that is the opinion of this post.
You give them a link to urban dictionary, sit back and look smug.
Das Was Sie Saghte. That's what she said, in german. What do?
It means that what she said last night whe we were banging
what makes people think that it's only an english joke, something as funny as that would be worldwide I dare say
If they're trying to learn English, there are a million things they should learn before a joke like "that's what she said".
How I would explain it to someone who already knew English: it's a phrased used to bring attention to a sexual double entendre in another phrase.