Usually this is indicative that you have a 3-way lighting circuit, but only a single-pole dimmer. For most lighting circuits, the red wire and one of the black wires are supposed to be run over to a second light switch. You need dimmer rated as a "3-way" in order for that to work. If you get stuck, I would call the manufacturer's tech support number at 1-800-523-9466. They're available 24/7 and it will not cost you anything.
Answers & Comments
Usually this is indicative that you have a 3-way lighting circuit, but only a single-pole dimmer. For most lighting circuits, the red wire and one of the black wires are supposed to be run over to a second light switch. You need dimmer rated as a "3-way" in order for that to work. If you get stuck, I would call the manufacturer's tech support number at 1-800-523-9466. They're available 24/7 and it will not cost you anything.