The above quote in the movie comes when Arthur is with Susan, trying to talk her out of the marriage.

Of course you know, being a comedy, that it ends happily but only at the last moment of course.

Arthur, who has been off the drink, is devastated and goes on a bender. Hobson, sensing this is the best choice for Arthur, sets about encouraging the relationship, but falls ill and dies before he can see it through to a successful conclusion. Along comes Linda and Arthur falls in love with her instead, after saving her from a shoplifting charge. Arthur is due to inherit an even larger fortune, but only if he marries, Susan (played by Jill Eikenberry), the daughter of one of his father's colleagues, a woman he does not love. 'Arthur', made in 1981, is set in New York and stars Dudley Moore as a more or less permanently intoxicated millionaire, Arthur, along with his brilliantly understated long time valet/father figure, Hobson (John Gielgud), and his love interest Linda Marolla (played by Liza Minelli). Bob, however, is quickly released because of the ease and humour he displays to the staff of the hospital as he tells them therapy jokes, such as the one above. The quote in this question is from Bob after Dr Leo has attempted to have him committed. The ending is absolutely hilarious as Dr Leo, now completely insane, attempts to cure Bob with 'death therapy' - but I won't ruin it for you. What ensues is an hilarious tale of poor Dr Leo trying everything he can to get rid of the very annoying Bob, and slowly being driven over the edge in the attempt. However, he feels so good after an introductory session with Dr Leo, that he follows the doctor and his family to where they have gone for a month's vacation.

Bob has assorted mental health issues - or, as in the above quote, imagines them anyway - and believes he cannot be helped. The 1991 film 'What About Bob' stars Bill Murray as the extremely annoying patient, Bob Wiley, of a smug and self-satisfied psychiatrist, Dr Leo Marvin (played by Richard Dreyfuss).

Trivia of the quote