Learn Russian: Конечно, я знаю.

Even though it is spelled with the letter ч (which usually makes a "ch" sound), in the word конечно it is pronounced as ш (sh). This is a special pronunciation rule for a few very common words, similar to how что (what) is also pronounced with an "sh" sound.

Why is there a comma after Конечно?

In Russian grammar, introductory words like конечно (of course), наверное (probably), and пожалуйста (please) are almost always separated from the rest of the sentence by a comma.

In English we usually say "I know it." Why isn't there a word for "it" here?

Russian frequently leaves out objects like "it" when the context already makes it clear what you are talking about. Simply saying я знаю is the most natural way to say "I know it" or "I know that" in conversation.

How does the verb знаю change if I drop the pronoun я?

It doesn't change at all! The ending -ю on знаю already tells us that the subject is "I". Because of this, Russian speakers will often drop the word я entirely and just say Конечно, знаю. Both ways are perfectly correct.