。
She asked me where she should go.
Literal
She [topic-は] me [to-に] where [toward-へ] went [if-たら] good [question-か] asked.
An embedded advisory question: どこへ行ったらよいか — literally 'whereto, if-(she)-went, good?' = 'where should she go?' へ marks direction toward; ~たらよい packages 'should X / would be good to X.' Note that subject is dropped throughout — Japanese is comfortable leaving the agent of 行く unstated, since context (彼女 is the asker; she's asking about her own movement) makes it clear. へ is interchangeable here with に, with へ slightly emphasizing direction over destination.