That sentence can be used in different situations. 1. When you are trying to make a guess and you want the answer to come from you and not from your listener/s (ex. I think the answer is... Wait! Don't tell me!) 2. When you find something hard to believe (ex. Don't tell me you want to leave me?!) 3. When you simply have no interest in knowing (ex. I don't care, so don't tell me!)

'Don't tell me' is usually used to express surprise or shock and normally comes before the rest of the sentence. 'Don't tell me you are going out dressed like that!' 'Don't tell me he didn't ask you to marry him!' (because we were all expecting him to!)

When someone tells you something and you are not really believing it to be true. You think it is far-fetched.So you comment saying: "Don't tell me !" It is like : " I don't believe it is true." "You've got to be kidding me?"