It means you can't look at the event on its own--you have to look at the influences around it as well. For example, someone says "Country A is bad, because they attacked Country B". This statement can't be taken on its own. It's quite possible that A had very good reasons for attacking B, maybe things that had happened years before, but without the context it simply makes A look bad.
Historical context is, in my opinion, the most important thing to have to be able to look at an event objectively, and really the best way to educate yourself about the true nature of any event.