A policeman is driving along the road when suddenly he sees a woman driving and knitting at the same time.
Driving up beside her, he says, "Pull over!" "No," she shouts back, "a pair of socks!"
Knitting is when you make clothes from wool.
The joke here comes from the confusion between the phrasal verb pull over, which means go to the side of the road and stop your car, and a pullover, which is a type of sweater.