I suppose you want to start this sentence differently: "Not to know what to do ...", or probably better: "Not knowing what to do ..." - But you will need some native speaker advice here.

You should use "Not knowing what to do..."

Can i say "Not knowing what will to do.." ?

I am not a native speaker, bilginhalil, but I assume that "Not knowing what to do ..." means as much as "Not knowing what I should do ..." and I suppose this is what you want to express or is it?
Anyway "Not knowing what will to do ..." is incorrect English.

raggione is correct.

"Will" is a modal verb, which means that it's followed by the main verb directly, without "to". Examples of other modal verbs: "can"/"could", "may", "might", "must", "shall"/"should".

Most descriptions of English modal verbs that I've found on the Internet go into more detail than you probably want. Here's one that goes into less detail. It doesn't describe why such verbs omit "to", however.

http://esl.fis.edu/grammar/rules/modal.htm

You could say "Not knowing what I will do..." or "Not knowing what they will do...", etc., but "Not knowing what to do..." is better in the context of the whole sentence.

Thanks for comments.They helped me a lot. :)

I'm glad to hear it!