In the poem "The Road Not Taken" by Robert Frost, what does it mean by "two roads diverged in a yellow wood"? What does it mean by "yellow wood"?

It means there is a fork in the road, and it is autumn in the woods. 

The two roads diverged into a fork in the road, meaning that the roads went in two separate directions. The “yellow wood” means the poem is set in autumn. This also means there were leaves on the ground that might have obscured tracks in the roads.  

The speaker has come to two roads in a wood. He has to choose one. One was “grassy and wanted wear,” but overall the roads are similar. Since it is fall, the roads look different.

And both that morning equally lay

In leaves no step had trodden black.

Oh, I kept the first for another day!

Yet knowing how way leads on to way,

I doubted if I should ever come back.

One of the roads is covered with leaves and the other isn’t. Frost says there is a yellow wood to inform us that it is fall. The leaves are falling off the trees. The narrator has to decide if he wants to take the road “less traveled by.”  

The speaker tells us he took the road he thought was less traveled and says doing so made “all the difference.” This is open to interpretation, but you might take it to believe if you do something differently than what everyone else has done, you will get something positive out of it. For the speaker, that seems to have been the case.