"Talking back to the screen" means saying something to the characters on the TV screen or movie screen while you are watching the TV or movie, in response to what is happening in the TV show or movie.

It is literal. The audience is pretending that the images on the screen are alive, and yelling insults at them. For example, when an obnoxious politician starts telling lies on TV, I start yelling back even though I know he can't hear me. My wife hates it when I do that.