I'm going to explain how do i understand it.
That is not bad, that you don't understand it.
The joke is funny because one persons asks other to pull his fingers and because he pulling his finger he starts to fart... So that person which pulled finger CAN'T blame him that he farted. It much worser becomes to the person which pulled the finger, if they are not alone... all will start blaming the person which pulled the finger and not the guy which said the joke and farted.
To be honest the joke is a normal joke, as other ones... but it "hurts feelings". It shows disrespect to the person to which pulling finger joke was offered. So if you are person to which pulling finger was offered,... I better find better friends.