Which is the correct sentence?

The first sentence would need to completely enclosed in quotation marks if it is reported speech.

Joe addressed Jim. "Tell me, where did you get the money from?", he asked.

The second is completely wrong. Why should "Tell me," be excluded from the quotation marks?

Hi Contrex

Tell me, where did you get the money from?

Just to make sure I got it right: The above sentence is incorrect.

The above sentence is perfectly, absolutely, totally, utterly correct if it is a written question.

Dear Contrex

I like your new car, but I know that you haven't got a job. Tell me, where did you get the money from?

Yours sincerely

Yoong Liat

However, if it is intenced to be a piece of reported speech, it needs quotation marks "front and rear".

Here is a little story...

Yoong Liat was walking along the street when he saw a man driving a brand-new Mercedes. As it drew closer, he saw that it was that handsome fellow, Contrex. Yoong Liat was surprised to see Contrex driving such a luxurious vehicle, because he knew that Contrex had been dismissed from his job at Macdonald's for incompetence and drunkenness. The car pulled up and Contrex beckoned Yoong Liat to get in. As he pulled away, Contrex said, "How do like my new car?". "Very nice", replied Yoong Liat. "I paid cash for it" added his friend. "Tell me, where did you get the money from?" asked Yoong Liat. "I won it at a cockfight" answered Contrex.

Also, I left out a word from my previous answer:

The first sentence would need to be completely enclosed in quotation marks if it is reported speech.

Hi Contrex

Thanks for your clear reply and the short story.

That should have been intended