I don't find it so funny myself, but I just want to make a joke myself.

Conan to Ai this morning
Why do you take your umbrella with you, it's not raining at all.
Ai says well you can never know :-)
He answers as you like.
On the way to school
You Conan said Ai, Hmm ..... I just want you to protect me.
Conan was standing there and didn't know what she meant by that. Ai pointed to a very tall man
You are all watched. Ai take the screen and hit. Conan was ready when he noticed that the big man only Mr. Shikomo was a neighbor, he had to laugh and hit ais very gently
headfirst you're scared hey and so they ran to school.

if you don't understand him, just say bye