Yeah, it means you join it into a circle to knit a tube. I remember the first time I encountered that instruction, I was, "like how?" I did some weird something I cooked up of tying the thing together which I later learned was unnecessary.
Like Sue said the most basic way to join is just to start knitting it into a circle. If what you are doing didn't make it form a circle you did it a little wrong. Try again. There are other ways to join that you can learn a bit later.