It literally translates to "in my dreams" and is used to describe something that happens in the realm of dreams. It can also be used figuratively to describe something that is highly unlikely or impossible to achieve.
For example:
* "Te vi en mis sueños" (I saw you in my dreams)
* "Viajar a la luna es un sueño, en mis sueños" (Traveling to the moon is a dream, in my dreams)