There are different kinds of dimensions. There are simple, Euclidian dimensions where each dimension is perfectly orthogonal to the others, where parallel lines never intersect, etc. But there are other possibilities, non-Euclidean spaces and volumes. This is where the example of the sphere comes in. If you were a 2-dimensional being you could be on a plane or you could be on the surface of a sphere. Similarly, if you are a 3-dimensional being, such as us, you could be within a simple R^3 volume, or you could be on a hyper-sphere or another non-euclidian volume. The math is a little more complex, but similar.