Attempting to connect a simple memory chip to a computer
It’s a simple battery Powered electronic toy. Here what they did mean they used one chip (where a few bytes of memory and audio amp) which is responsible for producing the laughing sound whenever you push the button. 

And also that laughing sound is stored in digital form in the few bytes of memory.  Here the chip is glued(invisible). So you can't see the chip.

Basically if you want to connect any device to computer mean, you must have any of communication ports (Like USB, Ethernet, UART). Here nothing seems. 
          So, you can’t connect this device to computer unless you are the manufacturer(they probably have some special hardware to communicate with PC like converter)