Learn Spanish (Latin America): Yo no entiendo el plan.

The infinitive (dictionary form) of the verb is entender (to understand). It is a "stem-changing" verb. When you conjugate it for most subjects, including yo, the stressed e in the middle of the word changes to ie. Because of this rule, the stem entend- changes to entiend-, making the "I" form entiendo.

Where is the word for "do" in the Spanish sentence?

English uses "do not" to make a verb negative, but Spanish keeps it simpler. You just put no directly in front of the main verb. No entiendo translates perfectly to "I do not understand."

Do I always have to include yo?

Not at all! In Spanish, the verb ending usually tells you exactly who is doing the action. Since entiendo ends in -o, it can only mean "I understand." You can simply say No entiendo el plan. Adding yo at the beginning just gives a little extra emphasis, almost like saying "As for me, I don't understand."

Since plan is spelled exactly like the English word, do I pronounce it the same way?

Almost, but pay close attention to the Spanish a. In English, the "a" in "plan" sounds like the vowel in "apple." In Spanish, the vowel a always makes a crisp, open "ah" sound, similar to the "a" in the English word "father."