Do is not only used as an action verb, but [also as an auxiliary verb][1]. Which means, used together with other verbs as know, like, think etc. For example:

>I don't know the answer.

>I don't like pizza.

I used **don't** in the examples because in a positive statement, do is usually omitted:

>I know the answer.

>I like pizza.

**Do** is only used in these statements, when you want to emphasize the fact. I do like pizza, actually.

Do is also used in asking questions:

>Do you like pizza?

>Do you know which was Shakespeare's first play?

So starting questions with do is perfectly fine.

[1]: http://www.gingersoftware.com/content/grammar-rules/verbs/do-does-did/