You have me confused. < You are the cause of my confusion. You caused my confusing experience. You are causing me to experience ongoing confusion.
You confused me. < You caused me to be confused. This is not necessarily ongoing. This is the simple past, so we would need context to know whether or not the speaker is still confused.
The other sentence is simple present, and we know for sure that at the time the speaker says this, he or she is still experiencing confusion.
You have me confused. - temporary condition at present
You had me confused. - temporary condition - past action finished
You confused me. - past action finished
You confuse me. (all the time - a regular thing) - simple present - ongoing circumstance - may stop and then start again