Hi! To say this means that a person did something they had a feeling was not a good idea, but they did it anyway.

For example, say you go out to drink with friends. you plan to only have 2 drinks because you know more drinks will be bad for you. your friend convinces you to drink more. So you drink more and are very sick in the morning. You did it, even though you knew it would not end well. 

You did something against your better judgment.