I've asked myself this question many times in the past, and it always helped me to use the video-game analogy.
When you sit down at your console/PC and click that Start button on your favorite game, you suddenly see your character spawned (birthed?) into this strange digital world. If you imagine yourself as seeing the world from the limited perspective of this avatar of yours in the game, well, you don't know anything about "The Real World" (tm), although the "Real You" is aware of both the game character in The Game World, and its physical body in The Real World. For a while, your Real You's focus shifts to The Game World's reality and if the illusion is good, you are immersed in it and forget about everything else. At some point though, The Real World is going to call you back for duty, and you are going to have to either pause or quit The Game World, shifting your focus back to The Real World.
So right now, you are entirely focused in The Real World, totally immersed in its beautifully crafted illusion. You momentarily forget about The Real Real World, as your perspective/awareness is purposefully limited to suit the rules and goals of this particular game we are all playing in. Once you die in The Real World, you get to pat yourself in the back in The Real Real World, cheering with your Real Real World friends about the great gaming session you've all just had together, and how much better you all got at it. After a little rest and other Real Real World duties, you're back in front the Real World Console, picking your next adventure!
Now the interesting question is, if that's the case, where does the recursion ends? Is there an ultimate reality? Ohh, more questions... :)
I hear, and I forget. I see, and I remember. I do, and I understand.