We all have an inner voice that nudges us to do the right thing. Our conscience is what tells us to stand up for a kid being bullied. It's what makes us feel bad when we cheat on a test. Mr. Einstein is telling us to listen to and obey that voice, even if the State, or government, tells us to do the opposite.
Some cities have laws that make it illegal to feed homeless people on the streets. If you saw a hungry person who live on the streets and had no way to feed himself, would you follow what you conscience tells you is the right thing to do and feed this person, or would you obey the State's law and let him go hungry?