They both do mean the same which will be “explain this to me” but I guess the main difference is that the first one it’s more of a statement so you’re saying “explain to me” while the second one is a question “can you explain to me”. When you add the “me” it’s like you’re asking. Another example of this could be “me ayudas” which means “can you help me“ while if you say “ayúdame” you’re telling them to help you, you’re not asking. Hope that helped