You're 'yak shaving' when you need to change a light bulb, but to do that you need to go to the store, so you need to find out why your car won’t start, so you need to [...and so on]. In order to change the light bulb, you really do need to shave this yak. Or, in gaming, follow this adventure hook.
As far as I know, the term was coined by Carlin Vieri after watching an episode of The Ren & Stimpy Show.