When you say "You had me there!" it means "You tricked me! I believed you!"

This is a phrase that you usually use when you think the trick was funny and don't mind it.

You can also add "going":

You had me going there for a minute.

Here's how you use this phrase to talk about someone else:

She had you there, didn't she?

In these sentences, "there" doesn't really have any meaning; it's just part of the phrase.