Translation:I don't understand.
One of my most used Portuguese phrases!
Does "entendo" and "compreendo" mean the same?
yes! But "entender" is much more common.
«entender» = "to understand" & «compreender» = "to comprehend"
Would it be right to say "eu não entende"?
No. When you use eu, you have to use entendo to conjugate the verb properly. Refer to this link for the correct verb conjugation.