It's very similar to a joke from How Hermes Requisitioned His Groove Back
You can't just waltz into the Central Bureaucracy. It's a tangled web of red tape and regulations. I've never been but a friend of mine went completely mad trying to find the washroom there.Leela:
Then we'll need a guide. Someone who's been there before.Farnsworth:
Oh, I've been there. Lots of times! [Laughs maniacally.]
Basically, the Professor is an amoral, senile mad scientist. I think that's all the brain joke was getting at.