Often when you visit a massage therapist it is because you are in pain, discomfort, or are stressed and need relief from these symptoms. A massage is great a treating and alleviating these symptoms, but sometimes it needs to be supplemented with some self care to extend the effects that the massage treatment provides as well as help improve your condition.
As much as it would be nice to have a massage treatment several times a week, weekly, or treatments longer in duration, for some reality gets in the way due to time, or budget. Therefore, the self care your massage therapist gives you is essential in improving or maintaining relief from your symptoms between treatments.
An analogy I like to use to put this in perspective is that of the use of a personal trainer. You would never expect to go to a personal trainer once a week/month or what have you and expect to do nothing on your own outside of these training appointments and expect to lose weight or maintain your physical health. You need to do some work on your own in combination with the health professional in order to see any positive change.
Self care can include stretches, strengthening, heat/cold therapy, pointers for posture, breathing techniques etc.