If you really want to understand this idea, be careful. When I tried it, I had no clue who Frederick Nietchze (sp?) was, and was having a serious identity crisis. When someone found me I was banging my head into the wall repeatedly in the vain hope that something would become real.
First, question every fact you can think of. Sometimes it takes a while, but eventually you will start wondering things like “How do I know the sky is really blue? Am I just defining the word blue to mean ‘sky-colored’ because that’s what color someone told me the sky was when I was a toddler? How do I know the sky is real?”; then start to question who or what told you to believe all of this stuff.
When you start to do this, it’s really easy to slide off the ramp and grasp at a quick answer like “my parents” or “society”. Don’t do it. Ask why you think they are any more real than the definition of “blue.”
CAUTION: I strongly suggest you take a break when you get to this point. When I started to ask why I knew I was real, I had no clue what “cogito ergo sum” meant and had been told my entire life that G-d (see, I’m learning the board rules) had created me. I got caught in a loop of “How do I know if I exist independantly of the Creater?” and “How do I know G-d is real?” I snapped like a twig under a 5-ton.