What does “go your own way” mean?

to do as you choose, especially when sb has advised you against it

How is “go your own way” used?

In The Godfather Part III (1990), one line is: “-I'm going my own way. -Your own way?”

The clip at the top of this page is from The Godfather Part III (1990).

-I'm going my own way. -Your own way?

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