It can be one of below:
1. Where are you going?
2. Are you going to somewhere?
depending on the context and accent.
1. when the accent is on "어디"
2. when the accent is on "가는" with a short break after "어디"
1. a precise answer is expected (시장에 가요 - I'm going to the market)
2. You can answer with yes/no, or optionally, tell roughly where you are heading. (네, 물건 살 게 있어서요... - Yes, I need some supplies.)