When in Rome, do as the Romans do (often shortened to when in Rome...) is a proverb attributed to Saint Augustine. The phrase means that it is advisable to follow the conventions of the area in which you are residing or visiting.
Saint Monica and her son, Saint Augustine, found out that Saturday was observed as a fast day in Rome, where they planned to visit. However, it was not a fast day where they lived in Milan. They consulted Saint Ambrose who said "When I am here (in Milan) I do not fast on Saturday, when in Rome I do fast on Saturday." That reply is said to have brought about the saying "When in Rome, do as the Romans do."