O'Brien bluntly tells Winston that reality is whatever the Party says it is. In this totalitarian state, the ruling Party has created a parallel universe in which "War is Peace," "Freedom is Slavery," and "Ignorance is Strength." If the Party says that two plus two equals five, then it does, and woe betide anyone who dares to contradict the Party line.
For O'Brien reality doesn't exist out there in the world, but rather inside the mind. That being the case, the Party knows that if it can control people's minds it can create its own reality, one that serves its own interests. Winston stubbornly disagrees, at least until after he's been brutally tortured. He rightly thinks that there's a real objective world that exists outside of human consciousness. And this world, two plus two will always equal four whatever anyone thinks. Indeed everyone in the whole world could deny the truth of this sum and it still wouldn't make any difference. Two plus two equals four. Period.
That's not what O'Brien wants to hear, of course. He demands Winston's complete, unswerving loyalty to the Party and its dictates. As Winston soon discovers, in Oceania reality is inextricably linked to power, and the Party uses its monopoly of power to impose its own alternative reality on society, like a boot stamping on a human face forever.
O'Brien also mentions that reality is in your head. He tells Winston that he could float off the floor like a soap bubble, but because the Party does not wish it, he doesn't. Reality is in the head, which is what makes doublethink so necessary and possible in Oceania.