错了.what the teacher said 是宾语从句,充当understand的宾语.that said everywhere clearly 错了也没有必要.在英文里,what sb.said 后面不能用that引导的从句.根据我的理解,你可能想表达两种意思：
1.We must understand clearly everything the teacher said.
2.We must understand clearly what the teacher said about sth.