What is the context?

He says it to Peggy, who is distraught and in the hospital, after just giving birth to a son and immediately giving him up for adoption.

I had to look it up too. You are right, the quote doesn't exactly explain itself.

Since no one is responding...a major character gives birth to an illegitimate child fathered by a married co-worker, has a sort of mental breakdown, and her family takes the child away and tries to cover the whole thing up. Don finds her in a hospital and gives her that advice.

This has to be one the most pretentious comments I've ever read on Hacker News.

I especially appreciate that his TL;DR was a reference to one of the more dense pieces of literary theory that I was ever forced to digest...

One of the great quotes from Mad Men, and it does apply perfectly to this situation.