It means you have locked your screen in "Portrait Orientation" -- it will not rotate when you turn your iPhone.
To change out of this mode, double click your home screen, flick the bottom of the screen from left to right, then click the leftmost button.
It is the realistic help actually:
Double click home button
Slide the multitasking icons to the right till the Ipod icons appears .
Then press the portrait orientation lock button (it is the grey button with a circulararrow).