If you want to understand the difference between say and tell you should quickly read of the ‘subject or object’ blog on this website first.
Some verbs are followed by a direct object and some are not.
The word tell is always followed by a direct object…
E.g. I told him to leave the classroom – him is the direct object.
The word say is never followed by a direct object, but it is sometimes followed by: that + subject or rarely by, to + object…
E.g. I said that I wanted to go outside.
I said to her that I wanted to go outside. – in this situation it would be more common to use tell, e.g. I told her that I wanted to go outside.