I'm taking my very first steps into learning Spanish. I was watching the first episode of Extr@ en español where one person tells another:
¡No se lo digas a nadie!
Why is 'se' used here? To my knowledge, 'decir' is not a reflexive verb.
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The pronoun "se" has many usages and "reflexive ones" is only one of those. I can count up to 7 usages of "se".
... and the one you are looking for is "variant of le". Basically, the structure "le lo" must be changed to "se lo", but the meaning is the same.
"No lo digas" = don't say that
"No se lo digas" = don't say that to him/her
Because it's like saying "*no le lo digas" but in a correct way.
As explained in the Diccionario Panhispánico de Dudas, the pronoun se has several functions; one could very well say it's several different pronouns. You already know se as a reflexive third person pronoun, but this is different: here se replaces the regular dative third person pronouns, le and les (singular and plural), because of a rule that requires that when the accusative third person pronouns la, lo, las, los are present already.
What this means in effect is that you cannot have le and lo (or les and los, or le and las, or les and lo, etc.) together next to the same verb. That is, if the verb has both a direct object and an indirect object and both are third person, you will have to use se for the indirect object.
The following are examples of how you would convert one sentence with the indirect object expressed in full into a sentence with the indirect object turned into a pronoun, so you can see how the change goes:
You might find it easier to remember because le lo (etc.) sounds a bit cacophonic.
Note: in the first example the indirect object pronouns (le and se) are redundant because there's already a full indirect object (a ella), but still they must be present. It would be ungrammatical to say *No digas eso a ella. This holds whether there's a direct object or not, and whether or not that direct object triggers the change of le into se (i. e. you must also say No le digas a ella, not *No digas a ella).