I think you mean, "I don't understand your words." As well, you could say, "I don't understand what you're saying." A saying (as a noun and not a verb) is a wise well-known phrase such as "A friend in need is a friend indeed," and one's say (noun) is the opinion you can tell him before he makes a decision.

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)."

I don't understand that you are saying and the second one – I don't understand your word's – is correct.