What does it mean? It's for changing to another subject (usually a less important, or smaller topic.) For example:
I can't believe the elections are so soon, it's so important to vote. By the way, I'm going to the shop if you want anything.
Or for adding more information:
I saw John the other day. And by the way, he has lost loads of weight.
You know when you are talking to a friend and you keep remembering different things you want to say or talk about? You can use by the way to introduce every new topic you think of.
By the way, if you want to use by the way, first listen out for it next time you're speaking English to someone. Then you just have to try and you put it into your English conversation. Eventually you'll be using by the way just like English-speakers.