I am not sure what this means exactly. Can anyone help?
As Bogdan correctly pointed out, a very accurate English translation of the phrase is
One might wonder what it has to do with it.
You'd think what's it got to do with it?
Note that while in Russian this sentence would normally be a question, in English it can be translated as both a question and a statement.
Individually, verb казаться means to seem, however when use with particle бы (as in казалось бы) it indicates that the following statement is unintuitive, totally unexpected, unnatural. However it actually is correct. Usually this following sentence (in Russian) is a question and it is further followed by an explanation of why this seemingly nonsensical statement is true, often starting with words оказывается (turns out) or на самом деле (actually) For example,
Казалось бы, при чем здесь это? Оказывается, эта доска еще вчера была частью моего забора.
One might wonder, what it has to do with it? Turns out this piece of wood only yesterday was part of my fence.
Казалось бы, зачем строить дом в середине леса? На самом деле, имеет полный смысл: чистый воздух, тишина и никакой суеты.
You'd think, why build a house in the middle of a forest? Actually, it makes total sense - clean air, quiet, and no fuss.
Same: it's something that seems to be unnecessary/unimportant but in reality is necessary/important.
Although this appears to be a question to someone, it is actually a question to oneself. Usually people in Russia don't answer this question.
Here is an example of its usage:
Вчера врезался в машину. Во всем оказалась виновата птица. Казалось бы, при чем здесь она? А это, на вид невинное животное, влетело в турбину моего самолета
Sorry for my bad English if I wrote something that is hard to understand.