나보고 하는 말이에요? = (lit) Is that meant for me? = Are you saying that to me? = Are you talking to me? 나보고 하는 말이에요. = They are talking to me. (It can be a question or statement, depending on whether you raise the end.) 보고 is a case marker particle here (similar to 한테 and 에게), like the preposition "to in English. It comes from 보다, which means to see or to face someone/something. If you face someone and say something, you are talking to them, so "(someone)-보고 말하다" means to say something to them. ex) 저 경찰보고 도와달라고 해 = 저 경찰한테 도와달라고 해 = Ask that policeman to help you.