In this question, I used "Where do I understand wrong?". No matter it is proper or not, I think you understand what I want to express.
So, is it proper English? If not, how to improve it?
Where do I understand wrongly ?
This is the correct form. You have to use an adverb to explain the action, not an adjective.
However, in the modern English, "wrong" can function as either an adverb or an adjective.
So your sentence is also correct.
What part of ”blah blah blah” do you not understand?
has become an idiom, at least in America. Its meaning can be taken at face value, except the idiom is somewhat caustic and derisive; potentially insulting the intelligence of the people being addressed.
So it would be fairly idiomatic (at least in America) to ask “What part of this do I not understand?” Stylistic variations include:
It’s possible that some people might take offense at something like that. I can’t really imagine why, but some people (especially in America?) seem to be very sensitive to subtleties in language, so be aware.