Your dad left you because he went for milk.
*1,000,000 years later*
Her: Dad come back!
Him: FBI open up!
Okay, so listen up, dummy. The joke is that the dad left to get milk and took so long that when he finally came back, the FBI was raiding the place. It's funny because it's unexpected and makes the dad seem like a criminal mastermind instead of just a deadbeat dad, which you probably know a thing or two about.