Use the adjective perplexed to describe someone who is utterly baffled or confused. If you've ever studied for the wrong test and been surprised and confused by the exam in front of you, you've been perplexed.
There's a particular bewildered kind of facial expression that goes along with the word perplexed. It's the kind of emotion that's hard to disguise. The Latin root perplexus means "confused or entangled," and "entangled" is a great way to imagine the tangled thoughts and confusion of someone who's perplexed.