This means to print out your private and/or key, and keep it safe.
You can generate your own public and private key using this website:
https://www.bitaddress.org/For extra security, make sure to use the website OFFLINE - ideally on a computer that is not even connected to the internet. There is spyware that will try to find your private key.
So you will end up with the following two bits of information- which you can print out.
Public Bitcoin Address:
1EY9UB7ykigMn6p17hcypZK5nUyV7wjt7Y
Private Key (Wallet Import Format):
5JQr5bxtEVXF4HMfz41XGWLAWmkWCMxYDPdyWFvPoWtctzVf7xs
You send bitcoins to your public bitcoin address, which you can also give out to anybody. You keep your private key PRIVATE.
To access any bitcoins you sent to the public address, you can import your private key into a blockchain.info wallet/other bitcoin client etc.
The main thing is you need to keep the print out of your private key very safe as it is the key to your bitcoins. You may also wish to keep an encrypted version of the key as a backup to a physical paper (in case of fire/theft of the paper).
Enjoy!