Let's say you want to write a screenplay. To find an idea that you like, you must be already writing. Pick a story that feels "wrong" -- those are always easier to find than ones that feel "right." Write a brief summary of the story and make sure you finish it. Then pick another story and do the same thing.
If I interpret this correctly, the advice seems to be saying "find something that bugs you and work out a story that fixes/addresses that bugging thing". And that's definitely how I write (although it's not how everyone writes and please don't take this to be universal advice, because it's not), so it's nice to see that I'm not completely unusual in that.