It means "understand it clearly". It also implies that the listener is a little stupid or ignorant.

I agree with Peachey in that it means "understand it, accept it, and stop asking about it". You'd say it when someone is being annoyingly slow on the uptake. I'd personally use it if someone had been asking me the same thing a lot and was starting to annoy me, especially if the answer is clear.

I guess you could say that it means 'realize and remember that'. When a person tries repeatedly to tell someone something and that person fails to understand them even after the statement has been repeated several times, the person may say, "Get it through your head." When this statement is used, it usually means that the speaker thinks that what they are saying should be easy to understand and they are frustrated because the listener does not understand them. Another saying with a similar meaning is, "Get it through your thick skull." Keep in mind that these saying are disrespectful. So, be careful about using them.