Apparently that quote was where a scriptwriter almost screwed Bush over.
The full phrase is "Fool me once, shame on you. Fool me twice, shame on me." Bush realised he was about to give the media a sound bite of him saying "Shame on me".
Given the context, it's far more understandable why he flubbed it.
This was Dubyah trying to quote the old saying that starts "fool me once, shame on you...". I used to think HE was dumb, now we have people in office that make him look like a Rhodes Scholar.