Crying wolf means to act like you are in danger if you really aren't, or in a broader sense, just to tell a lie to get attention. It comes from the fable of the little boy who cried wolf, about a boy who watched sheep, and he would yell that there was a wolf to get people to come rescue him, when there really was no wolf, he just wanted attention and to play a joke on people. He did it so often that over time they stopped believing him, until one day a wolf really did come and he cried "Wolf!" and nobody believed him so nobody came, and all the sheep (and maybe the boy too!) were eaten by the wolf.
Basically it is an admonishment not to lie, or else people will not believe you when you tell the truth.