Hi Jesús, When something "doesn't go down too well," it means that the end result is worse than originally expected. In this example, David told a joke that he may have thought was funny, but once the joke came out and people didn't laugh (or worse, people felt offended), the joke "didn't go down too well." Please let me know if my answer isn't clear.

In the example you provided, it means the joke wasn't funny or perhaps even offensive. To "go down well" means something succeeded. To "go down badly" means something failed.