A guitarist is someone that plays the guitar. A guitar is an instrument with strings. If something is wrong with a guitar string, say it's broken, then the broken string need to be unstrung and replaced with one that is functional. If someone is unstrung, they are upset or weak. The joke is saying that guitarists don't die, they just become upset, or weak. The joke is playing on the different definitions of "unstrung". 
OLD GUITARISTS never die , they just become unstrung .