If someone asked the initiating question, they probably (or should have) said: "Would you like to ACCOMPANY us?" The word "accompany" means "to go with". And really, you could get away with simply asking "Where?" This whole exchange seems very formal. In the United States, it would be more like this: A: "Do you want to go with us?" B: "Where?" -or- A: "Do you want to hang out with us?" B: "Depends ... where are you going?" All of these are very colloquial, everyday speech. Don't try to make them grammatically correct. They aren't. But they are the way this exchange usually happens.

The two sentences are not the same. "Where should we be going?" would be interpreted as "Where ought we to be going?" (In the sense of 应该） The correct response in this case is "Where will we be going?" Technically speaking "Where will we be going to?" would be frowned on by strict English teachers because it ends with a preposition. However, you will still hear it a lot in spoken English.