One important aspect to understand is that if you say ich gehe nach (some place) you are not just saying you are going there, you are saying that you are walking. If you are driving or taking any form of ground transportation, you would say Ich fahre nach... My friends in Germany would tease me because I was always said. Ich gehe nach everywhere even places hundreds of miles away.
Quoting from the text Treffpunkt (p 31): The three forms of the English present tense have only one equivalent in German, i.e. forms like 'it is raining' and 'it does rain' do not exist in German." In particular, "Ich gehe" serves for "I go," "I am going" and "I do go." (Duo has lots of examples in which it already excepts either of the first two forms, and I did have some success in getting the third form accepted.) Also (p. 43), "German uses the present tense to express future time..." For example, "Ich gehe morgan einkaufen" literally translates to "I go shopping tomorrow," but means "I am going to go shopping tomorrow."
Gehen means to go by foot. It has some of the generic meaning of our word go, but if you are going somewhere by any vehicle you would say Ich fahre. I was always teased when I lived in Prutting bei Rosenheim and said Ich gehe nach München. They would always mock amazement and say Zu Fuß?
No. German doesn't have continuous/ progressive tenses. It is sort of an upside on Duo since even in languages that do have them, they are not used as consistently as in English for current action. So in most European languages, even those that do have progressive tenses, the present progressive in English is often the correct translation for the present progressive of the other language but Dúo reserves that translation for the new language's progressive form. But here you are free to use either.
German is at least vying for King of the compound word, so I have always found it difficult to be sure where one word ends and another begins. These short sentences are really very difficult on Duo, though, because of the lack of context. Context would help you understand a lot. But German is really not a fast language. Believe me when I tell you with any sentence like this in a relatively short period of time, you will be amazed that you ever could have not understood this. Since quite a few sentences start with ich, you will hear that and know that it is followed by a first person verb conjugation. Gehen is also quite common.
If you have Netflix, all of their own shows are dubbed in many languages. Long before you expect to be able to understand anything, try to expose yourself to 5 or 10 minutes of German. It's especially valuable if you have already seen the show in English. Then you know what is happening and you just have to try to hear some of it in the dialog.