She told me where I should go.

Literal

She [topic-は] me [to-に] where [to-に] go-[if-ば] good [-のか] [object-を] taught [for me-てくれた].

An embedded question containing the advisory ~ばいい ('it's good if X' = 'should X'). The structure: 何処に行けばいい ('where would it be good to go') + のか (nominalizer の + question か) + を (object marker) + 教えてくれた ('taught me'). The whole question is wrapped as a noun phrase by のか and fed as the direct object of 教える. Note the explicit を — when an embedded question is the direct object, を is optional in casual speech but often added for clarity in writing. 何処 is the more formal/written kanji rendering of どこ.