Some yarns tend to 'pool' their colors so people will alternate skeins. It depends on the project, but generally it means to do a row or two and then switch to the other skein, do a row or two and switch back. You can usually carry the yarn up the side or inside of the project so you don't have to keep cutting it.
Another time that people alternate skeins is if they have yarns of two different dye lots. That way they just kind of blend together in a way that looks intentional rather than having one sleeve that might be a slightly different color.