This quote is from a speech that Douglass gave in 1863. Basically, what Douglass is saying here is that, if you want to be free, you have to make yourself free. You cannot wait for someone else to do the job for you. This is because it is better to die trying to be free than to live in slavery.
This speech was given to try to motivate blacks to participate in the Civil War as soldiers. Douglass was arguing that they would not deserve their freedom if they did not fight for it. This idea motivated blacks to fight, both in the Civil War and (not militarily) later on.
This is the spirit that, for example, motivated the people who made up the civil rights movement. They could have waited for the white people to decide that it was time to give blacks their rights. However, they did not do this. Instead, they rose up and tried to take the rights that they deserved. This is just what Douglass is advocating--if you want to be free, you have to make yourself free.