First of all, you need a "to" in front of the "know" to make this sentence grammatically correct: "It must be very frustrating not to know what to do with one's self" (and "one's self" must always have the apostrophe) The two-word phrase "one's self" is only justifiable when self is used in a spiritual, philosophical or psychological sense. Otherwise "one's self" can be replaced with the pronoun "oneself". So depending upon in what sense you are referring to "self" in your above sentence, either "one's self" or "oneself" could be correct usage.
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