If you follow Lost, you know that there are two parallel universes, one in which Jack et al are on the Island conflicting with Locke/Black Smoke Monster; where Charlie drowned and Faraday is a physicist who is killed by his future mom; and the other universe in which Jack is a practicing doctor, Desmond a rich playboy, Charlie's alive, and Faraday wants to be a musician. &c.
All are free to speculate about what it means. But it's valuable for other reasons to offer two understandings of the concept of parallel universes.
In the popular understanding of parallel universes, every decision or possibility splits the universe into simultaneously existing, equally "real" and autonomous universes, e.g the cat is alive in one universe, and dead in another:
So when you choose A over B, your universe proceeds accordingly, but another is split off next to it.
But you see that the possible universes trail behind you. You make a choice, there's a split, and you leave exhaust and a universe behind. What's particularly interesting about this idea is that while it purports to be a solution to the difficulties of quantum mechanics, it actually doesn't require quantum mechanics at all. It's a purely semiotic interpretation: the universe splits. No math, no confusion. You can't communicate with that universe in any way, so is it "real?"
The Copenhagen Interpretation has it the other way. In this case, all possibilities exist before you (to varying probabilities), but once a selection has been made, all other choices are obliterated. Reality becomes a series of successive obliterations of potential realities. Just like middle age!
It's immediately arguable that since these are all statistical functions, they do not necessarily apply to an individual case (i.e. to your choice of A or B) but instead describe the system of such events. In the same way, an equation might describe how oxygen molecules (O2) are dispersed in a room, but it doesn't predict in reality where each molecule is.
The point, for Lost, is that by having Desmond, Charlie, Jack, et al become aware of this other universe (e.g. Desmond's flash of Charlie drowning in the car) they are not jumping to the other universe, but in fact obliterating the one they are in, in favor of the other (Copenhagen interpretation.) This makes Locke/Smoke Monster's desire to leave the island, and the feared consequences ("everything will cease to be") more accurate. Locke isn't just changing universes, he is causing that one to obliterate.