Understanding the phrase "하고 싶은 거 없어요" from foreigners in Korea

Hello! It's been a year since I came to Korea, and I'm struggling with grammar while studying Korean. I'm currently attending a Korean language school in Hongdae, and I came across the sentence '하고 싶은 거 없어요'. I'm having trouble understanding this sentence. I'm curious why '고' is attached to '하고', why '은' is in '싶은', and why '거' is standing alone. Is there anyone who knows about this grammar well? I'm feeling frustrated because I don't understand it ㅠㅠ I saw this sentence on TTMIK (a Korean learning website), and it appeared between simple sentences, making it even more confusing. I would really appreciate it if you could help me out!