UDP stands for User Datagram Protocol and is primarily used for real-time communications such as voice or video transmission. It is a competing protocol to TCP or Transmission Control Protocol.
Although there are several differences between UDP and TCP, the primary difference is that UDP will send a packet once hoping that it arrives at the other end as to where TCP sends a packet, waits for the other side to confirm it received the data and then sends it again if the packet is lost or does not arrive.
So why would someone not want a lost packet to be resent? Think of real time applications like voice or video. If you have a voice call and it loses packet and you resend it, the packet will not arrive in order. Therefore you may receive the beginning of the sentence at the end of the sentence and vice versa.
The above is an over simplification of the differences but gives you enough information to possibly understand the joke…
I would tell you a UDP joke, but I am afraid you would not get it.