I don't know how to play tennis.
I don't know what to do.
I don't know when to go there.
I don't know where to go.
I don't know which to choose.
I don't know which car to buy.
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I don't know how to play tennis. は
I don't know how I should play tennis. を簡単にしたもの。
この文は間接疑問で how I should play ～ は名詞節で、how to play ～ は名詞句と考えられる。