What does "when in Rome do as the Romans do" mean?

Follow local custom, as in Kate said they'd all be wearing shorts or blue jeans to the outdoor wedding, so when in Rome—we'll do the same. This advice allegedly was Saint Ambrose's answer to Saint Augustine when asked whether they should fast on Saturday as Romans did, or not, as in Milan. It appeared in English by about 1530 and remains so well known that it is often shortened, as in the example.