'Try to understand before you go' -- what does it mean?

When Rosen kept telling students "Try to understand what you are afraid of. Try to understand why you are going there. Try to understand it before you go there"--I didn't get what he was trying to say. Did anyone else understand the meaning?

And what happened in the end? Was it an illusion when the blonde girl saw the killer get hit by a truck? Is the killer still out there? And who is he?