It means that the closest ancestor that two people have in common is a grandparent. (If they were any more closely related, they would be siblings.) Second cousins means that the closest common ancestor is a great-grandparent. Third cousins, then, have a great-great-grandparent as their most recent common ancestor.
What is an example of a second cousin?
Example: The common ancestor is your cousins great-grandparent. 1 “great” + 1 = 2, so this is your second cousin. Example: If your great-great grandparent is your cousins great-grandparent, then you are 4 generations removed and your cousin is 3 generations removed from your common ancestor.
CFR §170.305: Immediate family is limited to the spouse, parents, stepparents, foster parents, father-in-law, mother-in-law, children, stepchildren, foster children, sons-in-law, daughters-in-law, grandparents, grandchildren, brothers, sisters, brothers-in-law, sisters-in-law, aunts, uncles, nieces, nephews, and first