What to do if I have 4, 000+ protein in my urine and have very little swelling. What's going on with my kidneys?

Nephrologist asap. 4000+ protein in your urine is very elevated by all measures and indicates that your kidney is compromised. You do need to see a nephrologist as soon as possible or your PCP in other to get your kidneys evaluated and at a minimum your electrolytes need to be checked.
Proteinuria. go to this web site for causes of proteinuria http://www.webmd.com/a-to-z-guides/proteinuria-protein-in-urine. You need to get a work up to sort out which is the cause. You cannot ignore this finding. Hypertension and diabetes are the most common causes.