Begin by choosing a setting, like a circus. Imagine all the wacky characters in a circus. There's a clown who thinks he's a trapeze artist. He tries to swing from one tent pole to another but keeps falling into the lion's cage. The lion is confused because he doesn't know what to do with this falling clown. As the clown is falling, he shouts out funny things like 'I'm flying like a lead balloon!' Then you can add more characters like the ringmaster who comes to rescue the clown but also gets stuck in the cage. This creates a long sequence of funny events that can form a long joke story. You can end it with something really unexpected, like the lion decides to join the clown and they start doing a comedy act together inside the cage.
First, think of a funny situation or character. For example, a clumsy wizard. Then build on it. Maybe the wizard tries to cast a spell to clean his house but instead turns his cat into a broom. Keep adding details like how the cat - broom keeps chasing the mice around the house in a very strange way. And finally, create a punchline or a funny ending, like the wizard has to chase the cat - broom all over the town to turn it back.