Please do not read further if you are not comfortable with little boys' discoveries of themselves.
Here is a conversation from our day:
D: mommy! When cold air hits my penis, why does it feel like I have to pee?
me: well, I guess your penis feels different with different temperatures
D: But when cold air hits it, it feels like I need to go pee!
me: I don't really know hon. I don't have a penis, so I don't know. Maybe you should ask Daddy.
D: (delighted, scampers off to finish dressing ;)