But to understand why, it’s important to know what a dimension is. When someone says “we live in the third dimension” what they should really say (to be overly-precise) is “the universe we inhabit has three spacial dimensions”. The easiest is to try to come up with as many mutually-perpendicular directions as you can; you’ll find three without too much trouble, but you’ll never find a fourth. If a paper doll (two-dimensional being) were suddenly brought into three dimensional space all of its innards would become outtards. It would be super gross, but would make no more of a mess than an infinitely thin oil slick.