Change the narration: She said, "I don't want to come with you."

She said that she do not want to come with me.

She said that she didn't want to come with me.

She said that she doesn't want to come with me.

None of these

The reporting verb "said" is in the past tense, so the verb in the reported speech must also change to past tense.

"Don't want" changes to "didn't want", and "you" becomes "me".

Correct: She said that she didn't want to come with me.