pretty much my interpretation of the message in The Matrix series. with help from http://forum.grasscity.com/spirituality-philosophy/317033-everything-imaginable.html#post3651202 here goes: Have you ever had a dream so vivid you couldn't tell the difference between the "dream world" and the "real world?" When you wake from that dream, how do you know you're not still in another dream, you can't tell the difference. You being the dreamer wakes from your "dream world" to your "real world," which is a dream yet to be awakened from the to your "soul's world." Your soul is dreaming up this "reality."
Lucid dreaming is a very interesting subject, i recommend that if you are interested in it you do some research. Very cool stuff.