"Do you know where we're going?" would be what most UK speakers would say, and "Do you know to where we are going?" would be an archaic variant which implies a location is requested rather than an action. The verb used is "to go"; the answer might be "[we are going] to London" or "[we are going] shopping".
There's some potential for confusion in that the verb "to go" can be used for the future imperfect (I think, I was only taught my tenses in French and German lessons) as well as the present tense: note the difference between "We are going to London" or "We are going shopping" and "We are going to go to London" or "We are going to go shopping", or even "We are going to shop". The former is talking about an action we are currently undertaking (to go: implying motion), the latter about a future intent (to go: expressing an intent to do something in the future) to carry out the action in the former case. Using a different verb: "We are riding a bicycle", compared to "we are going to ride a bicycle"
"Where" can substitute for phrases of the form "at PLACE" and "to PLACE" as well as bare placenames, so, "Where are we going? We're going to the market," is perfectly standard.
"Where are you at?" is considered nonstandard, but it (and the form "Where you at?" are standard in AAVE.
