"So I [Paul] answered, 'Who are You, Lord?' . . . So I [Paul] said, 'What shall I do, Lord?' "
All human beings--even extremely zealous pharisaical ones, like the pre-converted Paul--know that there is a God. What they do not know is that He is accessed through a God-Man "Lord"--that being Jesus Christ, the Second Person of the Holy Trinity.
Once Paul knows that it is the Risen Jesus who is speaking to him, he (Paul) is in a position to ask Christ what he should do. God had Paul go into Damascus, get baptized, and hear what his marching orders for the rest of his life would be. There is a lesson here: those who know Christ, by sovereign grace, will exercise faith in living for Him.
[Puritan quote of the day: "Whatsoever you desire that God should give you, cast that upon the Lord." --William Bridge, in "A Lifting Up for the Downcast"]