One of the meanings of "heading" is "compass direction," "course," or "destination:" "the ship is heading northeast," "the family is in the car, headed for the amusement park."
In your phrase, it could be meant literally: "She has library books under her arm, I can figure out where she is heading."
It can also be figurative, your planned "destination" in an argument or discussion.
"Emerging markets countries have the fastest economic growth. However, everybody knows that, so, according to the efficient market hypothesis--"
"Oh, I know where you're heading. You're going to say that the information is already priced in."