Idealism is the philosophical concept that everything we know is composed of ideas. The easiest way of explaining this concept is that, while we may see an apple, the apple's existence is an idea and already known to us. The apple, therefore, exists only in our mind, and the universe itself is completely built from within our mind.
Despite this, however, most idealists accept that God exists.
In extreme cases of this point of view, as originally proposed by Rene Descartes, is that nothing exists but one's self, as it's the only thing that can be, in fact, proven. The Proof, according to Decartes, comes from the fact that he can think, as summed up in his famous quote, "I think, therefore, I am [existing]".