It means you have to apply for external grants and scholarships (as opposed to grants and scholarships awarded directly from the university). The best places to look are foundations, and professional organizations in your field. Fortunately, these days, a lot of this information is online. If you're not sure where to start in your search, you could ask for help from a reference librarian if there's a large public library in your area. (In the U.S., a comprehensive resource is the Foundation Center in New York.)
What is your academic field, and where do you plan to study?