How does Jane tell Rochester that she is independent?
When Rochester takes Jane to Milcote to buy her dresses and jewels before the wedding, she refuses.
She tells him that she has her own tastes and identity and that luxurious dresses and expensive jewels don't fit her. In other words, she won't be dressed up like a doll for his pleasure, but wants to assert her own wants and needs.
Jane makes a reference to a Turkish harem, suggesting that Rochester's offer to buy her presents is an attempt to possess her, to buy her, to own her, and she will not submit to this.
Note the language during this section when he says that he would like to "clasp" bracelets on her wrists, and put a "chain" around her neck. This is a rough paraphrase, but the language is also suggestive of the imprisonment images, something Jane strongly resists and openly objects to.