hello aqua,
in my opinion, both statements are suggesting that what you have said or done should not be misinterpreted or taken falsely. although "don't get me wrong" is quite often used than "don't misunderstand me", they literally imply the same meaning. the only little distinction i see is that "don't get me wrong" is a bit aggressive and stresses command to the one you're talking to.
"don't get me wrong, I'm here to get my things, not to confront you!"