I'm sorry, I don't understand.
I'm sorry, I don't understand what you're saying.
I'm sorry, I'm confused about what you're saying.
Or, you can ask a question:
I'm confused, could you please explain what you mean?
I don't understand, could you please explain what you mean?
You don't have to say "sorry" or "please", say whatever you're comfortable with, but I always say "sorry" and "please" when I'm confused and need someone's help, haha.
[If it's someone I know well, I might just say "What?" or "Hm?", haha.]
Edit: As for "I don't understand your words" ("says" is incorrect), it sounds like there is a specific word you don't understand. If you're confused about one word, you could just say "I don't understand _____ (<the word)."