To talk someone through would mean give to give direction while something is being done by another person. If I didn't know how to make coffee, someone might "talk me through it" telling me step-by-step how to measure the coffee, add water, and start the machine for example

it means to help someone do something, while they're doing it. "It's okay, you can change the light bulb. I'll talk you through it" http://www.thefreedictionary.com/talk+through <-- it gives an explanation there, too

For example in the phrase "I want you to talk me through this"