You can tell this joke in English or Korean to your Korean friends. It's fun in any language. The first thing you need to know is the word for milk in Korean: 우유 (Oo-yu). Here's the joke in English and Korean:
Did you know that King Sejong invented his own brand of milk? What did he call his milk?
세종대왕이 우유를 만들었는데 뭔지 알아요?
Do you get it? These are the basic vowels of the Korean alphabet, hangul... which was invented by King Sejong! If you don't get it, try it on your Korean friends anyway, and after they laugh, they can explain it to you too.