What Scout is saying here is that she did not really understand that her father was trying to teach her a lesson. He was trying to get her to hear the things that he was saying.
The reason that this was important is that the rest of the story is going to have a lot to do with the way that black people are treated in Maycomb. Atticus dislikes the way that black people are treated in Maycomb. Over the course of the story, he will expose his kids to his ideas. He is hoping here that they will pay more attention to his ways and less to the ideas of the rest of the people of Maycomb.