Where do babies come from?

My kids were watching, Saddle Club, the other day and saw a horse having a baby. I was in the other room, but could tell from their comments, that they were thoroughly grossed out. Later I hear this conversation. Micah says, with disgust, "That horse just like pooped out a baby". Isaiah answers, matter-of-factly, "That's how mammals have babies". Olivia asks, kind of nervous, "Are we mammals"? Isaiah, "Yes". Micah exclaims, in disbelief, "You mean mom pooped me out"!