I recently watched some science show where a guy was explaining how there might be dozens of physical dimensions, curled in on themselves and thus making up the three we know of. They used sound and gravity to explain it.
Sound gets weaker the further you are away from the source. Gravity is sort of the same. But while we imagine gravity as being this immense force in the universe, it is actually pretty weak, one of the weakest forces in the universe, and scientists don't really have an explanation for it. For example, if you took a magnet and attached your keychain to it, the small magnet you are holding in your hand would then be pulling on the keys with more force than the entire earth.
So the theory is that the same thing as with sound happens, gravity gets weaker the further away you are from the source, because unlike a wave, it spreads into space, but because there is no explanation for it being so weak as it is, scientists theorize there is more space than we are aware of - multiple dimensions, curled in on themselves - into which gravity spreads.
It might be similar to this youtube video posted by Boneasse, although that is not how they explained it. I think they did mention string theory. In any case, its questions like this that make me want to be a physicist (im not, just FYI, i am a regular mortal) because there are so many questions waiting for answers. Its quite mind boggling.