Place it in an edit directly after the confusing question, as the reply to that question, and leave it on its own so the reply is clear. Do not follow it with another reply that repeats the same point, because the exchange then loses its focus.
About this sound
This button is listed as 'Ich versteh die Frage nicht' and runs for about 2.3 seconds. No speaker, source, or further detail is supplied for this clip, so its listing gives no confirmed origin or description beyond its title and length.