Way 1 · best default
Sorry, what do you mean?
The everyday way to ask. "Sorry" makes it about you, not about them explaining badly.
Examples
Sorry, what do you mean? Are we not going any more?
"It's sort of complicated." "Sorry, what do you mean?"
In a conversation
A: The flat's fine, it just has a few quirks.
B: Sorry, what do you mean? What kind of quirks?
Common mistake
Not: I don't understand what you say.
Say: Sorry, what do you mean?
The first one sounds like a complaint, and the tense is off. Asking what they mean feels friendlier.
