burn down their house

I just look and make him understand that I didn't like.

again i will laugh because that was not funny lol

yes DNA this one work almost of time

There are few possibilities here. One is that you have not understood the joke. The second is that the joke is not funny. And/or the third is that the person has not told the joke in a funny way and he is not funny. 

Each of these cases has different solutions. 

If it is the first case, then you have to listen more carefully, or try to get a sense of humor if possible. If not, just try to make a fake laugh whenver other tell jokes not to embarrass them. 

If it is the second, then you have to laugh outloud at the joke's being not funny.

If is the third case, it is a pain in the neck. We all have people like that around who tell jokes and try to be funny while they are not. 

Finally, regardless of the previous cases, the best way to turn a joke or a situation which is not funny, is to pause for a moment after he/she tells the joke, and then make a big laughter. Indeed, when people don't laugh at a joke, it is a funny situation for itself. We sometimes delibrately don't laugh at a friends' joke just to create a funny enviorenment. 

I hope this is useful :)