Formal:
* Je ne comprends pas un mot de ce que vous dites. (I don't understand a word of what you're saying.)
* Je ne comprends absolument rien. (I don't understand anything at all.)
Informal:
* Je ne comprends rien. (I don't understand anything.)
* J'ai rien compris. (I didn't understand anything.)
* C'est du chinois pour moi. (It's Chinese to me.) This is a very informal way of saying you don't understand.
You can also use a phrase to ask for clarification:
* Pouvez-vous répéter, s'il vous plaît? (Can you repeat, please?)
* Pouvez-vous me l'expliquer autrement? (Can you explain it differently?)
Choose the phrase that best fits the situation and your level of formality.