If something is "strictly confidential", it means that you absolutely can't tell anyone.

The word "strictly" means "completely" or "absolutely". "Confidential" means "secret", in the sense that you're not allowed to tell anyone.

Information that is described as "confidential" is:

• Military information or secrets
• Patients' medical information
• Conversations that you have with your lawyer

"Confidential" is an adjective, so you can use it to describe ideas:

I'm not allowed to share any confidential information.

You said this was supposed to be a confidential conversation.

"Strictly" isn't used very much. It mostly fits into a few set phrases, including the one above and:

Strictly speaking, we're not actually married.

Smoking is strictly prohibited.

I'm sorry to do this to you. It's strictly business, you know.