Where are you going? - This is a word order for special questions in English.The structure of almost every simple question in English is based on this same model: (Question word) - Auxiliary or modal - subject - main verb - (plus the rest of the sentence). Where you are going... may be a part of a compound sentence : I don't know where you are going. Or reporting the present: simultaneous reporting. He asks where you are going. The main thing to remember is that in reported interrogatives, there is no inversion of subject and verb.

► M1. "Where is my jacket ?" ► He's asking where his jacket is. "What is making that noise ?" I wonder what's making that noise "Does she like chocolate ?" I wonder if (whether) she likes chocolate. "What are you doing ?" He's asking what you're doing. "What is he saying ?" I wonder what he's saying.. . "Where does he come from ?" I wonder where he comes from.