1. 'Should' in the sense of obligation translates with the conditional form of the verb 'devoir'. It goes like this:
So you'd say 'Qu'est-ce que nous devrions faire?', or more colloquially 'Qu'est-ce qu'on devrait faire?', if you mean 'should' in the sense of 'ought to' - as in 'What are we supposed to do?' or 'What are we expected to do?'.
2. However, if there is no implication of obligation - or no sense of what you ought to do - you'd probably use the present tense. In English, we have to use a modal ('should' or 'shall') in this situation, but in French you don't. For example, if you and your friends simply are wondering how to spend the evening, for example, and you are looking for suggestions, then "What should we do this evening?' would translate simply as 'Qu'est-ce qu'on fait ce soir?'.
I hope that helps.