It might also mean that someone claimed you as a dependent; or it could mean that someone accidentally "typo'd" their SSN and used yours by mistake. You cannot e-file when there is duplicate use of your SSN. Print, sign and date the return in ink, and file it by mail. The IRS will sort out the duplicate use of the SSN.
When you mail a tax return, you need to attach any documents showing tax withheld, such as your W-2’s or any 1099’s. Use a mailing service that will track it, such as certified mail so you will know the IRS/state received the return.
Federal and state returns must be in separate envelopes and they are mailed to different addresses. Read the mailing instructions that print with your tax return carefully so you mail them to the right addresses.