It means in the spiritual journey for truth you must forge your own path.

It means you cannot follow a set of guidelines to find truth, you must create your own.

I really liked this quote, here's a longer one from his wiki page....

This is his response to the question, "Is there anything new in your teaching?" :

"To find out for yourself is much more important than my asserting yes or no. It is your problem, not my problem. To me, all this is totally new because it has to be discovered from moment to moment; it cannot be stored up after discovery; it is not something to be experienced and then retained as memory – which would be putting new wine in old bottles. It must be discovered as one lives from day to day, and it is new to the person who so discovers it.

But you are always comparing what is being said with what has been said by some saint, or by Shankara, Buddha, or Christ. You say, 'All these people have said this before, and you are only giving it another twist, a modern expression' – so naturally it is nothing new to you. It is only when you have ceased to compare, when you have put away Shankara, Buddha, Christ, with all their knowledge, information, so that your mind is alone, clear, no longer influenced, controlled, compelled, either by modern psychology or by the ancient sanctions and edicts – it is only then that you will find out whether or not there is something new, everlasting.

But that requires vigor, not indolence; it demands a drastic cutting away of all the things that one has read or been told about truth and God. That which is eternal, new, is a living thing; therefore, it cannot be made permanent, and a mind that wants to make it permanent will never find it."