It means that just because two things occur at the same time, they do not lead to each other.
Work Step by Step
An example of this is the correlation between per capita consumption of margarine and the divorce rate in Maine. As you can see in the graph below, as more people eat margarine, there are more divorces in Maine. However, there is no evidence that the two things are in any way related. A situation where correlation does imply causation is in many predator-prey relationships. As seen in the second graph below, rises in the population of the Snowshoe hare are followed by rises in the Canadian lynx. It is proven that they are related because when a population has more to eat, there will be less competition, and therefore more of the population.