Knowing what you want is different from, say, knowing how tall you are. How tall you are is an independent fact about you: you can measure it yourself, but you may be wrong about it, and someone else will possibly correct you. Knowing what you want, on the other hand, is more similar to deciding than measuring. It's about making up your mind; and that means two things: one is that you have to do it (it doesn't happen just by itself), and the other is that the result is up to you. It's not already there, waiting to be discovered. It's something you have to create in the first place.
Of course figuring out what you want, in a given situation, is not without its constraints. First of all, you can always only choose between the alternatives available in that situation, and if you have ended up in one where all the available options are not really favorable, knowing what you want (in that constellation) is something like an adjustment, a re-grouping, supplementary thinking about the second-best option (or the least dispreferable option). It's supplementary, because you had other preferences before you ended up in that situation, preferences that are no longer available. Then secondly, you may find yourself of two minds: you might feel compelled to choose one option though you know that it would be more reasonable to choose the other. Thus we say of someone that he doesn't know what he wants when he has difficulties in choosing, oscillates between different alternatives, or perhaps is so reluctant to take any one of the available options that he'd rather not choose at all.
Take an example: you're studying for some degree, but one of your friends is asking whether you want to come along and watch a movie tonight. What does it mean to 'know what you want' in such a situation? Let's sharpen the example a little: let's say that you have been neglecting your studies somewhat already; you would like to have some fun, but you also know that you're beginning to endanger your study goal. In other words, you know that it would be in your best interests in this instance to stay at home and study; it would be the reasonable thing to do. And yet many people would tell themselves something like: "I know what I should do: stay at home and study. But it's not what I want to do." That's strange, isn't it? You're telling yourself that what you want and what you have found to be in your own best interest are two different things.
This move has two effects: first, by putting it into a 'should', you almost make it sound as if it wasn't your own interest, but some demand from outside, from other people perhaps, that tells you to do the reasonable thing. (Some people actually might hear the voices of their parents or their teachers in it — which shouldn't be surprising, for it's typically our parents or teachers who admonish us to do the reasonable thing.) And secondly, it makes it seem as if what you want is, after all, something you discover, not something you decide. It makes it seem as if it is a fact about you which isn't up to you, which is not of your own choosing. For it begins to look now as if what you want is something that happens to you, something outside of what you decide about the way you're living your life.
And it's true, there is something in this example which feels as if it were discovered, rather than chosen: but it would be a mistake to identify it as 'what you want'. It's a habit, something you've done for a while, and which for that reason feels easier, and more natural. In the example scenario, you simply have developed the habit of living a fun life with your friends and spending time thus instead of pursuing your study. But knowing what you want is not the same as knowing what you feel like, just in this moment. Your desires are also infused with thought, and such thought must be integrated with what you want to do with your life as a whole, too. Take care.