But what exactly do you mean by this? I have found that different Christians mean different things. Some Christians approach the Tanakh objectively, understanding that it was written by Jews for Jews. They make good scholars (and many of them ARE scholars). Other Christians, when they say this, mean that they have a carte blanche to make the Tanakh say whatever they want it to say, regardless of its obvious intent. It becomes a kind of Rorschach inkblot series for them, in which they see Jesus all over the place. Last month I spoke to a Christian who believed every time the Tanakh used the word Salvation it was naming Jesus.
My personal opinion is that it is the New Testament which should be read in the context of the Tanakh, since the Tanakh is the foundation for what came later. But that's just me. To each their own.