Learn Hardcore Icelandic: Ég skil ekki neitt. - I do not understand anything.

Ég starts with a y sound.
skil has a long i sound, closer to skeel than skill.
In ekki, the kk is not quite like English kk; it has a breathy, slightly hk-like feel.
In neitt, the tt is often pronounced more like ht than a plain English t.

You do not need to get every sound perfect right away; this sentence is very common and will still be understood if your pronunciation is approximate.

Why is Ég capitalized? Does Icelandic capitalize I like English?

No. Icelandic does not capitalize ég just because it means I.

It is capitalized here only because it is the first word of the sentence. In the middle of a sentence, it would normally be written ég, not Ég.

What form is skil?

Skil is the 1st person singular present form of the verb skilja, meaning to understand.

So:

ég skil = I understand
þú skilur = you understand
hann/hún/það skilur = he/she/it understands

That is why you get Ég skil, not Ég skilur.