Flashbacks and memories explain exactly what's going on, but the viewer probably still won't understand.
This is a summary of episode 34 of the anime series Revolutionary Girl Utena. You are welcome to link to it, but not to repost it elsewhere. For more information, and other episode summaries, see the index.
The episode opens with Akio musing about how the stars belong to no-one, as Himemiya gets dressed to leave. Just as she's going out the door, he asks "Must you still torture me?" and she just smiles. The drama club attempts to recruit Utena as a member; she isn't confident of her acting ability, but they give her tickets to their next production. She, Himemiya, and Akio all go to see the drama club's play, which makes up much of the episode. Just in case we missed the Shakespearean connection, Akio comments that "All life is like a play."
The drama club's play, titled "The Tale of the Rose" (bara monogatari): Once upon a time, the girls of the world were all princesses, because the Rose Prince protected them from such dangers as dragons, and being alone on Christmas Eve. Then an old woman warned the prince to beware - an evil witch was plotting to steal the light and plunge the Earth into darkness! She told him that the witch lived in the castle that floats in the sky, and the "light" in question was (recapping the Student Council duellists here), "that which is eternal" (Saionji), "that which shines" (Miki), "the power of miracles" (Jury), and "the power to bring the world revolution" (Touga). So the prince vowed to go face the witch in her castle and stop the evil plan.
But when he got there, he found the old woman who had warned him. She announced that she was the witch, he was the light, and she would seal him there. Taking off her witch disguise, she revealed that she was actually his little sister - the only girl he couldn't make a princess. And so that's why she became a witch, because that's the doom of girls who can't be princesses. So darkness descended on the world, and the world is in darkness today. The witch still wanders the world looking for innocent souls to sacrifice, to prevent them from bringing back the light. Beware! Beware!
Afterward, Touga and Saionji practice kendo together and briefly discuss Utena; her continued success is worrying. Saionji is surprised to hear that Utena was the little girl they encountered years earlier. In the evening, after Himemiya has gone to bed, Akio tries to cuddle Utena some more, but she's reluctant, half-remembering her confused feelings about wanting to be true to her prince. Akio asks her about the ring, commenting that she didn't even take it off in episode 33. Then she starts to remember what really happened when she first met the prince.
When little Utena was lying in the coffin, hoping to die, the prince appeared. She asked him if he was an angel of Death (shinigami), and he said no and walked away. She hopped up and followed him to the edge of a flight of steps. Some distance away they could see, against a red background, the figure of a woman twisting in agony, in midair, pierced by thorns or swords or something (we never see clearly). The prince explained that that was the witch - the Rose Bride - being eternally punished for stealing away the light of the world. To that day people still told her story, the Tale of the Rose.
Then we see a little log cabin and a fax machine spewing paper. The prince is lying wounded on a bed of straw inside, with a girl in a red dress - a girl very like Himemiya and apparently named Anthy - tending to him. Outside hundreds of men are milling around. They pound on the door and demand that the prince come out to help their daughters, but Anthy warns him that he's too weak and can't handle it. She leaves the building and tells the people that the prince, Dios, is no longer there. She has sealed him away where they can never get him. Then hundreds of swords appear out of nowhere and pierce her body from all directions, and she's left hanging in midair, still alive but in torment; the figure Dios showed Utena earlier.
Apparently this is still part of the memory, because we see little Utena with the prince again, at the steps. In the earlier time, she ran down the steps to Anthy, as the prince explained that Anthy sacrificed herself to save Dios, but the prince she loved is no longer himself; he is now End of the World. Little Utena wanted to, but couldn't, save Anthy; she begged the prince to help, but he told her that the only chance was if she, Utena, never lost her nobility, and grew up to become a prince Anthy could believe in. Then he gave her the ring, commenting that she'd probably forget most or all of this encounter, and even if she remembered, she was a girl, and would probably grow up to be a woman; but if she really could do it, the ring would lead her back to this place.
In the last scene of the episode, Utena wakes up next to Himemiya and comments that she feels like she was dreaming about something familiar, but she can't quite remember it now. Himemiya blinks and asks, "Who are you?"