Lynne is spending time round a friend's house. This friend (a woman) has recently married a man known as Dodgy Dave. During a leisurely dip, the police come round and arrest the woman for an unknown crime. Lynne makes a joke out of it, even though she is now alone in the house of a gangster.
Now it's just them but this is the first time she has ever seen this house, which leads me to believe that she's not very good friends with this woman. The woman may have had her recent wedding abroad, as perhaps Dodgy Dave is on the run. It appears that the only reason Dodgy Dave has married this woman is to put a lot of his criminal activity in her name. You'd think that with a name like Dodgy Dave, this woman may have had her suspicions, but she was obviously so enamoured with her new found wealth that it blinded her judgement. Lynne doesn't seem at all perturbed by this incident, which leads me to believe she was only using the friend for a free swim, and probably saw it coming a long way off. Lynne is making less of a joke here but more of a simple observation. George would be proud.