Pronoun question

In that sentence it's an adverb.

Taylor said:

Adverbs modify verbs, adjectives or other adverbs, so it must be modifying going?

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Yes, where is modifying the verb going.

You is the pronoun in that sentence, because it takes the place of a noun. Since it refers to a person, it's a personal pronoun.

Where is Bob going?

Where is he going?

Where are Bob and Sue going?

Where are they going?

Where are you going?

etc.