My six-year-old asked me this question the other day, while we were in the car; I didn't feel like it was the right time to answer him then, so I deflected the question.
He asked me again this morning, as we were snuggling together. I decided the time was right.
Him: Mommy, how do girls get pregnant?
Me: A man and a woman--
Him: Get married?
Me: No, they don't need to get married.
Him: How does a baby get inside her, then?
Me: You know a boy has boy parts. A penis. Right?
Me: And a girl has girl parts. A vagina. Right?
Me: Well, for a baby to start, a boy has to put his penis inside a girl's vagina.
Me: A boy has to put his penis inside a girl's vagina, and an egg inside her starts to grow into a baby.
Him: Mommy, a girl doesn't have an egg inside her!
Me: Actually she does. It's teeny tiny, but it's called an egg.
Him (flabbergasted): And he has to put his PENIS inside her...?
Him (thinking this over for a minute): And Daddy did this you?
Him: And he did this THREE TIMES?
Me: ...Um, yes.
Him: Isn't it GROSS?
Him (trying to figure out the wisdom of this): Well, you do have three boys...
Me: And I love them very much.
Him (hugging me): We love you too, Mommy.
What was I supposed to say? Yes, it is kinda gross, but I make your father sleep in the sticky spot?