Hello Amy, 'to go' could mean to follow a course as specified, to be or to continue in a specified state or condition. Here it means "How are your studies proceeding and advancing? At what path?

The question is assuming that you have been studying and asking if your studies are good or bad. So if your studies are going well, then you are pleased with your studying. An example of a response is "Good, I am learning a lot." or "Not so good, English is difficult."