The title was presumably inspired by a film of that era, either My Favorite Wife or My Favorite Blonde. In this case the title is used ironically. This is one of several entries in a series where Daffy (during his "screwball" period) torments Porky in a variety of ways.
Porky is on a camping vacation beside a lake where Daffy happens to live. The duck quickly insinuates himself into Porky's attempts at relaxation, and every time the duck gets Porky riled enough to threaten violence, Daffy shows him a sign that says it is not duck hunting season, and that there is a hefty fine for even "molesting" (i.e. "bothering") a duck.
Porky and Daffy both sing to different effect. Porky, who has trouble with words starting with M and B (among others), stammers and stutters his way through the old standard "On Moonlight Bay", while Daffy periodically breaks into a somewhat-sultry version of a then-recent hit called "Blues in the Night", better known as "My Mama Done Tol' Me". At one point, Porky unconsciously starts to sing Daffy's number, then stops, looks into the camera with a "Harumph!" and returns to "Moonlight Bay".
Daffy is able to get away with a lot, "Hoo-hooing" after every gag, until near the end, when a new sign says duck hunting season is now open, and it even specifically invites shooting this duck. The tide has turned dramatically, and Porky gets his revenge. While Porky chases Daffy around a tree, the picture gets out of order and breaks, then Daffy appears saying "Ladies and gentlemen, due to circumstances beyond our control, we are unable to continue this picture". The duck asides to the audience that he beat up Porky. The hook whisks Daffy offscreen and a loud crashing sound is heard. Porky then drags the dazed duck across the screen, his shotgun now bent in the form of Daffy's head. This gag would be used again in Rabbit Punch.