This phrase, made famous by Breaking Bad on AMC, comes from the author Franz Kafka, and refers to the style with which he wrote his books (which in his dying wish asked for to be burned).
Basically it describes a nightmarish situation which most people can somehow relate to, although strongly surreal. With an ethereal, "evil", omnipotent power floating just beyond the senses. It can also mean: something that is horribly complicated for no reason, usually in reference to bureaucracy.
You go to the city to see the law. Upon arrival outside the building, there is a guard who says "You may not pass without permission", you notice that the door is open, but it closed enough for you to not see anything (the law).
You point out that you can easily go into the building, and the guard agrees. Rather than be disagreeable, however, you decide to wait until you have permission.
You wait for many years, and when you're an old, shriveled wreck, you get yourself to ask:
"During all the years I've waited here, no-one else has tried to pass in to see the law, why is this?",
and the guard answers:
"It is true that no-one else has passed here, that is because this door was always meant solely for you, but now, it is closed forever".
He then procceeds to close the door and calmly walk away.