Checked on snopes.com.

http://www.snopes.com/humor/question/requests2.asp

Not so much an urban legend as a joke. It has been around a long time. I thought it sounded familiar. I had received this joke a long time ago in an e-mail, but it was a blonde who made the loan. Go down a little on the page it is the 3rd one. Sorry if I bursted anyone's bubble.

http://www.myspac