"What" in Chinese

If someone says something, and you did not hear him/her, what is appropriate to say? Is it okay to say 什么／shenme? Or is there a better word? Thank You

I am so much happy to join you its very help full to learn chines .

你们好！ 什么 is perfectly acceptable to use if you didn't hear something. It is not considered rude at all unless you say it in a forceful manner. 希望这会帮你！ I hope this helps! - Lin Ping