Q:

how do I say ''I do not know, I did not do anything to anyone'' in russian? 

I guess is не знаю, я ничего не сделал никому or am I wrong? 

A:

Something like "Не знаю, я ничего никому не делал." 
While the word order is relatively liberal in Russian, for emphasis it's a bit better to put the verb last. 
The choice of the verb (сделал vs делал) depends on whether you need Perfective aspect vs Imperfective one. 
The Imperfective aspect can be (roughly) translated back into English using Continuous Tense, as in "I wasn't doing anything", whereas Perfective aspect can be translated using Perfect Tense (Present or Past, depending on context), although such distinction is not direct.   So your choice should really depend on whether you consider the action complete and its result observable (and in case of a negative sense, would be observable, had it taken place), or it's an action without a specific outcome (or supposed outcome).