My wife e-mailed a little joke about Bush to her sister last week. When her sister went to open it, a window came up a informed her that a message "derogatory to our government" was intercepted and that she will not be able to receive it.
That actually sounds important enough to get more information. However, it would hardly occur to me that the gov't was the source of this window. I'd guess it was the ISP handling the page that contained the original joke, or it got routed through a proxy server that filters references to certain URLs. If the URL was referenced in the message or it was a picture that was sent with the reference (or even "invisible" HTML or script containing the URL) then it could make sense. I run up against such messages here at work several times a day. Currently we even filter out most news sources along with the usual entertainment, shopping, adult, gambling, hate groups, etc. It is possible for me to open up hotmail and depending on how the link to the joke is embedded I could get a message in place of the email that says. "Forbidden. You are not allowed to view Entertainment"
As the first Webmaster at our company who spent more hours than I care to admit fighting the spread of email hoaxes and viruses, I also must say that you can't blame anyone for seeing this as an urban legend. It has many of the trappings of the typical partial truth that could have easily started from a story or even a misunderstanding, only to be retold thousands of times.
Until I hear more information about exactly what was sent, how it was attached or embedded, or from where, and through what ISPs and mail services, I will reserve judgment. I would have been greatly impressed if the creator of the joke actually embedded the message, unknown to your wife, the original sender, only to have it pop up triggered by a new "context" or "environment". Very clever if it was intended to be a part of the joke, and only a recipient would see that part.