Adding to the previous answers, "ao" and "à" can basically mean "to the", with "ao" being used before male nouns and "à" before female nouns.
For example, it is correct to say this, because supermercado is a male noun:
Eu vou ao supermercado.
But you would say this if you used the word "loja" instead, a female noun:
Eu vou à loja.
Also, by making the noun indefinite, you drop the o and the ` entirely:
Eu vou a um supermercado.
Eu vou a uma loja.