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.