What does "You are not allowed into the destination" mean?

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Occasionally when teleporting across Second Life, you may see the following message:

"Could not teleport. You are not allowed into the destination."

This basically means you don't have permission to enter a certain Estate (Private Island). It could be because it's not open to the general public and you're not on the allowed lists (found in World menu > Region/Estate > Estate tab), or you've been banned by that Estate's Owner or a Manager.

Under normal conditions, you should not see this message on the Mainland.