This phrase is commonly used as part of a longer sentence. It's often used to give advice, eg "If I were (or stood) in your shoes, I would..." meaning basically, that if I were in your position, this is what I would do. Or it is used as a statement, eg "I'm glad I'm not in your shoes/ I'd hate to be (or stand) in your shoes" meaning that I don't envy your situation. Occasionally the same idea is used positively, as in "I'd give anything to be in your (or someone else's) shoes," if you do envy the person, or at least would like to change places for them for a particular reason.
Another saying is "to stand on your own two feet" which means to be independent and not rely on your parents or others to look after you.
Another saying is "to stand on your own two feet" which means to be independent and not rely on your parents or others to look after you.