We use tell with an object (i.e., who is to be told):
- Can you tell me where he has gone?
Also, we use tell to mean to instruct or to inform:
- I told her to wait at home until I get there. (instructing)
- He told us about his experiences of teaching English in a foreign country. (informing)
Say can be used for any kind of talking, and does not generally need an object (i.e., you do not need to indicate who is being told):
- She said she might drop in for a few hours this weekend.
- Can you please say that again?
If you use an object after say, you must use to with the object:
- He said goodbye to his children and walked out the door without turning back.