People in general enjoy being around people who make them feel good. When you laugh, dopamine is produced and you feel good. Your brain associates this good feeling with being with this person, so you want to spend more time with them
A sense of humor isn't enough for a woman to be attracted to someone though. There needs to be sexual attraction as well, otherwise she will only see you as her friend. But Most people aren't aware of what it is exactly that makes them attracted to a certain person, since a lot of it happens on the subconscious level, so that's why people say things like "sense of humour" when asked what they look for in a potential partner. That is definitely something that factors into the equation, but there's a whole lot of other stuff going on that they aren't able to put into words.