1 Haken: What shall I do with die Amerikaner archaeologists, mein Führer?
2 Hitler's Brain: Bah! They are no better than common criminals! Take them down to die dungeons!
3 Haken: Jawohl! Downstairs, you filthy prisoners!
3 Prof. Jones: No need to say it so condescendingly.

I'm not going to explain it. It's better if you work it out yourself.

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2015-08-19 Rerun commentary: Well, it's been 9 years, I suppose I can give you a hint. The gag here is of a type known as "Tom Swifties". (I won't provide a link - if you really want the spoiler, you can type that into Google yourself.)

Why are the dungeons always downstairs? Wouldn't it be cool to have a dungeon in the upper levels of a building?

Actually, some real places did do this. Notably, the Doge's palace in Venice had cells for prisoners up in the roof cavity. These were considered among the worst places to be confined, as they were cold in winter and brutally hot under the lead roofing in summer.