Grammatically speaking, "how do you say the word...?" is a question. I can't think of any contexts where this would be a statement because it doesn't actually state anything. If there is a particular context you have encountered, please share it with me and I might be able to better clarify. I hope this helped!

You can use "how to say the word" as a title or a heading, but not as a regular sentence by itself. You can, however, use the expression as an object of a verb: "Teach me [how to say the word]." A proper sentence would be, "This is how we say the word", and a proper question would be "How do you say the word?" Notice in both cases there is a subject (we/you).