We usually say this to mean that someone is complaining or making a fuss before there is a real problem, so that when there really is a problem nobody will believe him or her or want to help. The saying comes from the Aesop's fable of the boy who cried wolf.
In this story a boy was looking after a flock of sheep at night. He was very nervous and became convinced that he saw a wolf hiding in the shadows. Finally he cried out 'Wolf!' and all the villagers came running to help. However, there was no wolf so they went back to bed.
The second night the same thing happened. This time the villagers were annoyed and told him not to be silly. So the third night the boy tried to be brave - but presently a wolf really did appear. He screamed for help, but the neighbours didn't believe him and just stayed in bed.