The phrase refers to the idea that a butterfly's wings might create tiny changes in the world that may ultimately alter the path of a history or delay, accelerate or even prevent certain occurrences.
The flapping wing represents a small change in the initial condition of the world at any given space and time, which causes a chain of events leading to large-scale alterations of events. Had the butterfly not flapped its wings, the trajectory of the event might have been vastly different. (Chaos theory)
Personally, you won't find me stepping on any butterfly wings!