Many Christians use the concept of not being "of this world" as meaning that there is some delineation from this world and heaven and that Jesus has come to establish the fact that they are separated.
First, nothing could be further from the truth. As in the Lord's prayer, "Your kingdom come, your will be done, on earth as it is in heaven...", Jesus has come to establish His kingdom here on earth.
There are a few things going on here that are worthy of our attention. First, it is probably more proper in our overly spiritualized view of Scripture to translate Jesus' words to pilate as "My kingdom is not from this world". Jesus pushes the point that if it was from this world, his followers would've taken up arms to destroy the kingdom of Rome. Of course, that's not how it happened.
There is a clear distinction here between how the world rulers reign and how Jesus reigns. Whereas the kings of this world rule with brute force and fear, Jesus rules with love and peace. This echoes what it says in Zechariah:
"Not by might nor by power, but by my Spirit" (Zechariah 4:6)
It is not by might or power that Jesus reigns, but through the Spirit. Jesus is very much apart of this world. His vocation was that of what was told in the OT—The Messiah would be the God of Israel coming to visit His people and restore them.
This is our calling. To restore the earth until it is all summed up in Jesus at the end. So many Christians want to leave this world and not labor in it. But remember what Paul has told us,
Therefore, my dear brothers, stand firm. Let nothing move you. Always give yourselves fully to the work of the Lord, because you know that your labor in the Lord is not in vain. (1 Corinthians 15:58)
What we do in this world lasts. We are here to change it, not by might, nor by power, but by His Spirit.