masters student here :wave: im so lost in my statistical analysis and my supervisor isn't really helpful

for my model i have 3 independent variables (however, they do measure the same thing sort of so it was expected that they would be very highly correlated, which when i finally got my data i was able to confirm in spss) and 352572 dependent ones. okay not that many but a lot.. and a ton of covariates that my supervisor told me to check and see which one has the greatest effect...

im really confused as to how to start. we had a huge discussion that apparently i cannot enter all my independent variables into the independent variables box in spss (analyze-->regression-->linear) because spss adjusts for everything after the first one that is on the list. also, she told me that she also doesnt know whether there would be a linear relationship at all between my independent variables and my dependent ones. so where the hell do i start and what should my first steps be? i thought i was doing multiple linear regression and for months i studied that and now i feel like that isnt exactly what i am doing? she wants me to enter one independent variable at once and one dependent variable and then what? what sort of model am i using for this? i am really confused and when do i check for my assumptions?

would i be correct if I:

1. enter 1 dependent variable and 1 independent one and in the same box enter all my covariates, and then one by one remove the covariates and look at my Betas? if more than 10% change that is a confounder?

2. look at the interaction between the ..? the what ? the covariate and the dependent or the independent variable?

im very confused and youtube isnt helping much at this point