Through can mean a few things... the idea is that something is moving from point A to point B inside something.
For the literal meaning, you could say
"I am going through a tunnel"
"you have to go through Germany to get to get to Poland"
"feed the piece of string through the hole"
However, You can say it more as an emotional experience
"I am going through a bad time in my life"
"I have never been through anything so difficult"