Hey Wendy, how are you? I hope you are doing just fine! The first and second sentences are not correct. As for the third one, it is rather fine. However, besides saying ''I do not understand your way of thinking'', you could also say ''I do not understand the way (that) you think''. So, in this case, both of them would sound rather natural. Hope that helps!!!

I should add that an alternating way of saying the sentence concerned would be ''I do not understand this way of thinking of yours''.

People would say number 3