What does it mean if I have cough and fever?

Infection. You may have an upper or lower respiratory tract infection. If your symptoms include shortness of breath and chest pain you should see the doctor.
Breathing problems. If you are experiencing cough associated with significant fever, you may very well have pneumonia, and that will require an antibiotic. Other potential causes include a blot clot in the lung, tumor, and other inflammatory conditions of the lung. So, yes, it could be something bad. Best to have it checked out.