Step 1: Analyze the indirect speech. The phrase 'advised me not to go' is a reported negative command or piece of advice.
Step 2: Convert the reporting verb. 'advised me' can be converted back to 'said to me'.
Step 3: Convert the infinitive to imperative form. The negative infinitive structure 'not to go' is reverted to the direct negative imperative 'Don't go'.
Step 4: Add punctuation. The direct command is placed within quotation marks. The correct sentence is: He said to me, “Don't go out at night.”