Could someone please explain me the difference?
I can't see any connection between the two phrases in your title so it's impossible to answer your question. Please write some example sentences using those phrases so we can see how they are being used.
Note my correction above. We don't say "explain me". You can say:
- Please explain it.
- Please explain it to me.
Remember - if you don't use correct capitalisation, punctuation and spacing, anything you write will be incorrect.