The cow wanted a divorce because she got a bum steer. The riddle gets its humor from the fact that a bum is a person who is lazy and avoids work, while a steer is a castrated male cow.
There is wordplay involved in this riddle, as "bum" as an adjective means "ill-advised," and "steer" is a verb meaning "to guide," loosely turning the answer "bum steer" into "wrong turn."
This sort of riddle, a statement or question with a double meaning, can be a thought-provoking challenge. Originally used to demonstrate wit and wisdom, riddles date back to ancient Greece.