When the USPS tracking updates and says that your item was delivered to a parcel locker it means that they placed a key in your mail box and placed the package in a locker that should be near your mailbox at the post office.
You take the key to the parcel locker out of your mailbox and use it to open the parcel locker and retrieve your package at anytime as long as the door to the post office is open.
The key should stay locked into the parcel locker and they will use another key to remove the key you inserted.