You say "Don't tempt me" when someone offers you something that you want, but you don't think that you should have it:
A: Hey, want to skip class this afternoon and go to the bar instead?
B: Don't tempt me.
"Don't tempt me" means "no", but it also shows that you want to say "yes".
This phrase is useful sometimes. For example, imagine that your friend offers cookies that she made, but they don't look very good. By saying "don't tempt me", you can say "no" without making her feel bad about it.