"I just do not know what to say."
Translation:Non so proprio cosa dire.
Another general rule, I guess: more often than not, try to keep your adverb after your verb. It takes a little bit of getting used to because it isn't word-for-word translation. In English you could say "I eat quickly" or "I quickly eat"; but in Italian you would never say "rapidamente mangio." "Mangio rapidamente" is correct. "Proprio" is a less obvious adverb, but it still follows the verb. Hope that's helpful somehow.
I wrote "non proprio so che dire" and was counted wrong, but it said "non so proprio che dire" was correct. Does the word order here matter that much?
As a general rule, try never to split "non" from your verb. I'm not a native speaker but I can't think of any situation where that's correct. It's tempting since in English you can split "don't," but it just doesn't work the same in Italian.