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 are both dead, and Margaery Tyrell is queen.
What does it mean for the future?
If the prophecy proves completely true, poor King Tommen is doomed as well. And while the whole "younger, more beautiful queen" thing seems wrapped up, Margaery isn't the only young, beautiful girl out there with a claim to being a queen — and Margaery doesn't have dragons.