(Read Matthew 25:31-46 here.)
Christians will be judged by how well we have put our faith into action. It's not enough just to say we believe in Christ. We have to act on that belief. We have to prove our faith by what we do.
Are you giving practical help to fellow Christians? Jesus makes it clear that this parable is about Christians helping other Christians because He says that those being helped are His brothers and sisters, and that when you serve them, you are serving Him. His Spirit is living inside of each of them and so helping them is helping Him, as well.
When you see a Christian in need physically, or jailed for their faith, do you act as though it isn't your problem, or do you do what you can to alleviate and comfort them? That's the difference between being a sheep and a goat.