Use the phrase "I don't get ___" to talk about things that you don't understand:

I don't get it.

I don't get this movie.

You can follow "I don't get ___" with a clause that starts with a question word like "what", "why", "how", etc.:

I don't get why he said that.

I don't get what I'm supposed to do.

I don't get how this works.