It's very similar to a joke from
How Hermes Requisitioned His Groove Back:
Farnsworth: 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.
