It doesn't mean "You're welcome." It means, help yourself; feel free to do something. For example,
Max: Wow! You have a lot of DVDs. Would you mind if I borrowed some?
Sam: Be my guest. <Go ahead and take some DVDs>
Pat: Your car is fabulous! What's it like to drive?
Sam: <hands Pat the keys> Be my guest. <Drive it if you want.>
Hope that helps.