I'm certainly no expert in these things so hopefully someone else can give a better explanation but my undertanding of the theory is that gravity leaks into other dimensions, not other universes.
These dimensions aren't normally experienced by us because thay are so small, the three spatial dimensions are pretty huge (possibly infinite), time is also pretty big but works in a slightly different way so it's hard to compare it's size with that of the spatial dimensions (and if they are all infinite then comparisons make no real sense anyway), but these other dimensions are so small that even subatomic particles fill them completely. The way I found easiest to envision it was as a sheet of the loopy bit of velcro. The backing material represents the 'normal' dimensions of space/time, and the loops are one of these other dimensions. For each point in space you can envision a little loop like this.
So, back to your question, gravity is supposed to be the only thing which doesn't go all the way around these extra little dimensions so you can imagine as it propagates through space it also goes round and round in these other dimensions.
I hope I haven't muddled that up too much, I've got to admit that I'm now more confused about it all than I was when I started. Anyone else care to shed some light?