What is meant by `individuals do not evolve, populations do`?
The statement individuals do not evolve, populations do is rooted in the (classical population genetic) definition of evolution. Here is this definition:


  Evolution is a change of allele frequency through time in a population


Evolution is defined for a population, it is not defined for an individual. And it makes intuitive sense once you get more used to how evolution works. For example, the so-called fundamental principle of natural selection states that at any given time, the rate of increase in the population mean fitness is exactly equal to the variance in fitness.

Indeed, evolution is all about phenotypic and genetic variance (for fitness or other phenotypic traits) and without a population to observe, there is no variance. It is within this framework that people say individuals do not evolve, populations do but you are correct that as populations evolve its constituents (the individuals) changes. The sentence has the advantage to reinforce the concept that evolution happens at the level of the population.