To make a u-turn while driving. Sometimes, but not always, used to illustrate that said u-turn is risky or illegal.
Husband: "O.K., make a right here."
Wife: "You fuckwad, why do you always tell me when I'm right on top of the turn!"
Husband: "Well you know where it is bla bla bla"
Wife: "Oh shut up, now I have to bust a U right here on Euclid Avenue."