hello, bulent.
You made me feel sad. This sentence's structure is S (subject) + V(verb)+O(object)+ to.v
to.v here is 'to feel sad', In this sentence, you can abridge 'to'. The same goes for 'let'. For example, The teacher let the pupils go home.
But 'get' and 'help' can't be used in this way. I got him to repair the radio. Can you help me to put up the tent?
About 'You made me sad.' This sentence is definitely right. But I can't explain it clearly.