(someone) just (did something)

One of the uses of "just" is to express that something happened very recently. It can mean a few minutes before:

I'm sorry, he just walked out to go get lunch.

Or immediately before:

What did he just say?

Or it can mean a few years:

Mankind has just started to study ways to understand and control DNA.

But in any case, "just" means a short time before.

What did you say to me?

If you didn't hear what someone said, you can ask:

What was that?

What did you say?

But asking "What did you say to me?" has a completely different meaning. You say this when someone insults you, challenges you, or says something rude:

A: Shut up.

B: Excuse me? What did you just say to me?

You should say this in an angry tone of voice, and stress the word "what".