Is there any meaning difference in below questions?
a) Which movie you saw yesterday?
b) Which movie did you see yesterday?
Yes, there is a different between your two sentences. The difference is that the first sentence is not grammatical (it's simply wrong). Only the second one is grammatical. In English, when you're asking a question that begins with a question word (those are words like why, when, what, where etc.), the subject of the sentence must be preceded by something called a helping verb (those are words like do, does, did, have etc.) unless the main verb is a form of the verb to be in which case the verb itself gets moved to the front. Here's the pattern to follow:
[question word] [helping verb] subject [main verb]?
What movie did you watch yesterday?
Where were you last night?
Note that it's just not possible to ignore this rule in situations when a sentence begins with a question word as in our case here, but when it doesn't, all bets are off and all that was mentioned above does not necessarily hold true. For instance:
Did you make it for me?
You made it for me?
I think the last example is the source of your confusion. You heard people say it like that and thought that a helping verb can be optional. I don't want to sound like a broken record, but when a sentence begins with a question word, a helping verb in front of the subject is not optional. So, which movie you saw yesterday is very bad grammar. However, you don't need it when the question word occurs in the middle of the sentence: You saw what movie yesterday? That's a perfectly valid sentence.