I just came across the sentence given above in the question, and think that it isn't grammatically correct such that the correct one would have to be as follows;
The only problem is where we start looking?
OR as follows;
The only problem is "Where do we start looking?".
Another sentence that is quite similar in structure to the original sentence is;
The main secret of thoughts is where do they come from?
I'm interested more in knowing the structure of the valid 'where' clause in the sentence.
Is the original sentence similar to eg: "I do not know where do we start looking?"?