I will have to agree with Tanit here. Both sentences make sense and have meaning, they are just asking slightly different questions.
In the first sentence, "Please explain to me what the sentence means," I hear someone wanting to know what the sentence means - in general.
In the second sentence, "Please explain what the sentence means to me," I hear someone wanting to know what it should mean to them specifically, "what should it tell me" ...
I could ask, "Explain (to me) what 'car' means." The answer would be, "a vehicle moving on wheels," according to Merriam-Webster.
Then, to be asked, "Explain what 'car' means to me." I would say, car means freedom, or a way for me to get to work and back.
Hope this is of some help to you!
-TeeShane ![Big Smile [:D]](/emoticons/emotion-2.gif)