When is it introduced?
The season five premiere brings us a juicy flashback of a young Cersei, perhaps 11 or 12, asking (well, demanding) to hear her future told by a witch named Maggy the Frog. This is a demand she probably immediately regrets.
The witch tells her that she will be queen one day, but that's about the last happiness she can expect. The prophecy says Cersei will have three children, but her husband the king will have 20. So far, so true. Cersei has three children with her brother Jaime, and we know that Robert's illegitimate children number so many that Joffrey has to basically order an extermination to get rid of them all.
Then the prophecy gets real dark. The witch tells Cersei that all her children will die and that though she will be queen, it won't be for long and a younger, more beautiful queen will come along and take her crown and everything she loves. Again, so far so true. Joffrey and Myrcella both die after being poisoned (by Lady Olenna Tyrell and Ellaria Sand respectively), and Tommen commits suicide in the sixth season finale after discovering that the love of his life, Margaery Tyrell, has perished in the explosion that destroyed the Great Sept of Baelor (which was orchestrated by Cersei, no less).
What does it mean for the future?
Now that King Tommen is out of the picture, the TV show version of Maggy the Frog's prophecy has come true in its entirety. In the book, there is a final part of the prophecy that has yet to pass: "And when your tears have drowned you, the Valonqar shall wrap his hands about your pale white throat and choke the life from you." The word "Valonqar" means little brother in Valyrian, meaning Tyrion or Jaime might be the ones to eventually end her life.
