+0
Can I use both of them?
+1
The first is unlikely, the second incorrect. "Tell me ..." is natural.
+1
Correct = eg What did he say to me?

Incorrect = eg What did he say me?

Clive
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Comments  
Anonymous Can I use both of them?
No.

See Say and Tell

CJ
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which one is correct

say me or say to me

explain to me or explain me

anonymoussay me or say to me

See answer above.

anonymousexplain to me or explain me

Most often it's neither. It's just 'explain'. If you have to say to whom something is being explained, use 'to me', 'to him', etc.

Natural English:
Can you please explain how this works?
(No 'explain me', and no 'explain to me'.)

CJ

Many people tell that "Tell me" should be use instead "Say to me". That's ok almost always.
But in sentence "When you told me hello, my friend, I liked it so much!" sounds weird to my ears.

"When you said hello, my friend to me, I liked it so much!" sound better.

What about sentence like this, can we tell greetings or praises?

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