I'm going to assume this question is listed here because they don't have a parapsychology section. The theory goes that while the body is limited to travelling forward through time at a set rate (relative to the speed it is travelling at through space, for some reason) and travel through space is restricted by the need for suitable propulsion, the spirit or mind or whatever has no such limitation, and it can separate from the body during cetain states of conciousness (such as dreams for example).
As for how it is done, there are allegedly various methods involving either meditation, lucid dreaming, or use of mind altering substances (the last option being a very bad idea).
In my personal view, it is unlikely that travel to other places or times in dreams is actually real. However if one wanted to attempt it, the first step is to become aware that you are dreaming, and to take control of the dream. I have done this a few times (by blind luck more than anything), but not attempted to leave my body as a controlled imaginary environment is quite fun, as one may imagine.
I expect the next step would be to imagine stepping out of your body and into your room (or wherever you fell asleep) and just take it from there. It would usually help to have a very specific destination in mind before going to sleep.
As for how to take concious control of a dream, that's kind of tricky. Becoming aware that you're asleep is the hard part. You could try picking something you dream about on a regular basis and associate the image with the sentence "this is a dream, I can do whatever I want". If you don't have a dream that recurs regularly, maybe try thinking of something absurd all day untill it gets stuck in your head (like for example a rabbit running around on the ceiling) and connect it with the same sentence. Once a trigger image pops up in your dream, it should immediately set off the thought that you are in a dream and able to control your environment. Controlling what happens in your dreams after that is simply a matter of practice. Lots of practice.
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