This maze is made up of 4 rows and 4 columns of blocks. Each block is a smaller 4×4 maze with walls and arrows in it.
Inside a single block, you may walk anywhere so long as you don’t cross a wall. When you come to an arrow, you have the option to jump to the corresponding cell one block over in the direction of the arrow.
One interpretation of this type of maze is that you are walking in 4-dimensional space, and that the points that are connected by arrows on this 2D diagram are really right next to each other in 4D space. 4D space is hard to visualize, so to get the idea it’s easier to think of the 3D version – imagine that the blocks in the first column of blocks are levels of a building stacked one on top of another. Then the “down” arrows are really just like holes in the floor that let you go to the level below. The corresponding “up” arrows are like holes in the ceiling that let you go up to the higher level. The full 4D version is sort of like stacking buildings inside buildings.