"What The"

My 4 year old son loves to curse. Okay, not really - thank goodness. But he does enjoy informing me of what other kids say at school. It usually goes like this:

Hey Dad, (kid name) said (bad word) at School. That's a bad word, right Daddy.

And then I follow it up with -- While biting my cheek so not to laugh --

That's right, that is a bad word -- we don't use that word do we?

No Dad we don't say (bad word).