Rocket propulsion is often introduced as an example of Newton's third law. The rocket exerts a force on the exhaust gas being ejected; the gas exerts an equal and opposite force--the thrust--on the rocket. Equivalently, in the absence of a net external force, the total momentum of the system, rocket plus ejected gas, remains constant. The law of conservation of momentum is generally used in textbooks and elsewhere in deriving the rocket thrust equation. In this paper we take the somewhat different approach of explicitly applying Newton's second law to the rocket. This method provides a good opportunity to show the importance of choosing carefully the system to which Newton's second law is applied. (Contains 1 figure.)