Ok... this is what I've found
It means that the sovereign cannot commit a legal wrong and is immune from civil or criminal proceedings. The Royal Family's official website states: "Although civil and criminal proceedings cannot be taken against the sovereign as a person under UK law, the Queen is careful to ensure that all her activities in her personal capacity are carried out in strict accordance with the law."
While the Queen cannot be arrested, other members of the Royal Family can be, unless they are with her. The law also states that no arrests can be made in the monarch's presence, or within the surroundings of a royal palace
At least that means he doesn't have to sleep on a put-u-up in her bedroom!
He might be at Balmoral for a while!