He who laughs last has had it explained to him, landie ;)
I think Scarlett's definiton is a good one for a child to understand the concept, namely that someone with a dry sense of humour can usually make funny comments but can keep a straight face.
I think that a dry sense of humour requires some work from the listener. Only a part of the joke is presented and the rest, you have to surmise. The challenge is to "get it" in the way it was intended.