What you really heard was that you should burn prograde in your own orbit, but retrograde in relation to the parent body. If the moon is orbiting 'clockwise' and you are orbiting 'clockwise', if you burn prograde when you are between the moon and planet, you will slow yourself down in relation to the parent body. If the moon is orbiting as above, but you are going in the opposite direction, burning prograde when the moon is between you and the planet will have the same effect as above.