ugh... Basically, it's one of those imagination games.
You are walking down a dirt path and you reach a fork in the road. You have to decide what your going to do. But it's more complex then that. You have a pocket with infinite items. You can pull ANYTHING out of your pocket. You could pull out Chuck Noris out of your pocket if you wanted(but you can only pull him out six times, because you only have six of every item). The players job is to survive his journey for as long as he can, while the story teller(dungeon master basically) has to try to kill you off.
There a bunch of rules that we have added along the years of playing. But that's the jist of the game.
You can't win it though. The story teller can kill you whenever he feels like it. Trying to win the game isn't what makes Rocky's World fun. It's all about the story. I've had some really entertaining experiences with this game. Once I was challenged by Willie Wanka to a Yu-Gi-Oh duel.
I also got killed once by a care bear. He used the Care Bear Stare(Kudos if you know what that is)
It's just random fun. It sounds dumb, but if you play it with an experienced story teller you'll get hooked in no time. People are always bugging me about how they want me to play Rocky's World with me.