Learn Italian: Gli spiego il problema prima di immergermi. - I explain the problem to him before diving.

The phrase prima di (before) must be followed by a verb in its infinitive (dictionary) form, not a conjugated verb. Since the Italian verb for "to dive" is reflexive (immergersi, literally "to immerse oneself"), you must attach the reflexive pronoun to the end of the infinitive. To do this, drop the final -e of immergere and add mi because I am the one diving.

Why is it prima di and not just prima?

In Italian, when you want to say "before doing something", you must use the preposition prima di followed by the infinitive verb. You use prima all by itself only when it acts as a standalone adverb meaning "earlier" or "first" (for example: L'ho visto prima, "I saw it earlier").

Why use Gli instead of Lo at the beginning of the sentence?

Gli is an indirect object pronoun meaning "to him". The verb spiegare (to explain) works by explaining a thing (the direct object) to a person (the indirect object). If you used Lo spiego, you would be saying "I explain him", as if the person himself were the concept you are explaining!

Why is it il problema? Doesn't the -a ending make it feminine?