The problem here seems to lie in the article: the brochure. Which brochure?
Normally, you use the when there's no doubt about the identity. that might be because there's no ambiguity, or because you follow the article by something the provides the disambiguation: the green brochure, the brochure Jane wrote.
Louis CK isn't using the brochure in a literal sense, though. Look at the previous sentence: I like it precisely enough to not kill myself. It’s an option, though. Now what's a brochure? It's something that lists available options. Flipping through a brochure implies a superficial study of the options in that brochure. And this particular brochure has options to kill yourself.
It's precisely because the brochure doesn't point back to an obvious brochure, that you know it's not a literal brochure but a conceptual one. This isn't unusual in comedy. Forcing the audience to think is key to making it funny.