The latter is correct and the former is definitely wrong.
When you construct questions in English, you follow this pattern: V + S, that's why you have the Helping Verb "Do" there.
But when you construct sentences, it's the opposite, you have to follow: S + V. And if you add any other Noun Clauses or Noun Phrases to your sentence, whether they were originally in question form, they cannot follow the "V + S" question pattern.
Take a look:
What are you thinking? = Question
Please tell me what YOU ARE thinking. = Sentence
Notice that I switched the Verb and the Subject in the original question.
In the same way:
What do you like? = Question
Please tell me what you LIKE. = Sentence
Where did you go? = Question
Please tell me where you WENT.
- "Do" and "Did" as Helping Verbs are normally used only in Questions and Negative sentences, not positive sentences
This topic also encompasses Direct and Indirect Questions