Translation:We are going to understand what she said.
"lo que" is a single concept meaning "what" in English. When you say "This is what I want" you are using "what" as a noun in a declarative sentence, so in Spanish you would need to say "Esto es lo que quiero" (Similarly, in this case, "what" she said is also a noun in a declarative sentence, so you'd say "Vamos a comprender lo que dijo") If you want the other version of "what" in an interrogatory sentence or you want to say "that" you use "que" without the "lo."... "What do you want?" and "I want the thing that is green" would be "Qué quieres?" and "Quiero la cosa que es verde" respectively. If you said "Vamos a comprender que ella dijo" it would read "We are going to understand that she said" which doesn't make as much sense.
I would only add:
The difference between "que" and "lo que" in dependent clauses is the difference between subject and direct object of the clause.
"Que" without the accent is the subject of the verb in the dependent clause.
"Lo que" is the direct object of the verb in the dependent clause.
In English, we hardly recognize we are doing the same thing when we use "what" instead of "that" as the first word of the dependent clause.
English has a similar construction when using the relative pronoun “which” instead of “what”: In English, we can say “We will understand that which she said.”, but not *“We will understand which she said.”. The “that” is necessary here, just as the ‘lo’ is necessary in the Spanish ‘[Nosotras] vamos a comprender lo que ella dijo.’.
No, well... If you translate it literally, yes, but that's not what it means. "Lo que" simply means "what" in English. A quick rule to tell whether "lo que" can be used is to plug in "that which": we are going to understand that which she said. Since that still makes sense, "lo que" can be used. Haz lo que es mejor=Do that which is better, which then is changed to "Do what's better" to sound more natural in English. Hope that helps!