It is an idiomatic phrases used when you want to indicate that you a individual who won't be told what to do or how to react in situations.

What's the context of the question?

This idiomatic expression is used when you are talking about a person who objects to being told what to do or how to react in situations.

The other teachers have already correctly answered your question, EMO. You might also come across it phrased in this way: "Some people just can't be told!" You can think of it like this: "No matter what you tell some people, even if it is good advice, they won't listen to you."

The context you quote gives you the answer really. You would most often use the phrase if you were talking to a third party about someone else, e.g. "I tried very hard to tell him he shouldn't do that, but some people just won't be told", meaning the person went ahead and did whatever it was anyway, despite what you had said. And probably suffered bad consequences as a result!