If someone says "Do not pass go" to you, what do they mean?

The other two answers are correct, but they miss a crucial detail which is key to why the phrase has entered popular idiom. The message on the Chance card is worded the way it is to be unambiguous, but the intent is that it is to happen straightaway and no detours are allowed. Because of this, using the phrase outside of the board game means not only "you've failed" but "you've failed right now and you are not allowed any benefits that might ordinarily happen on the way to account or atone for it."

In the game of Monopoly, every time you pass go you get $200. There is a card in the chance pile that sends you to jail without passing go. The text is "Go to jail. Go directly to jail. Do not pass go. Do not collect $200."

So saying "do not pass go" has become an idiom for "not only did you fail/lose, you failed/lost badly" or "not only did something bad happen, but there were bad side-effects as well."

Its a reference to a popular phrase that appears on several Monopoly cards.

In Monopoly you roll dice to advance your piece around the game-board, and at every square on the board one of several things may happen. One square on the board (a corner square) is designated as "Jail" where your piece waits when it is in "Jail" (details don't matter), another square (also a corner square) is designated as "Go", where the pieces start from at the beginning of the game. The game rules stipulate that every time your piece advances onto or past the "Go" square a certain sum (typically 200 monopolybucks) is given to the player (a salary if you will).

If a player picks up a card that tells him to go to jail, the card stipulates that the player's piece goes directly to jail, and stating that you do not pass go and do not collect $200.

Outside of monopoly "Do not pass go" may be a euphemism for going to jail, or something similar. (A contrived example would be a parent telling the child to do the laundry without "Passing Go.") But otherwise it would be helpful if you post the actual usage you heard.