In 99% of the cases, the difference between Present Simple and Present Continous is not translated into Polish.
Verbs of motion are in this other 1%. So:
to go, to walk (generally, habitually) = chodzić
to be going, to be walking (right now) = iść
to be walking (without a purpose or direction, just walking around) = chodzić
Darn, I just noticed, that at least in a way, AlexLivins is right...
The thing is, that this course doesn't teach the word "dokąd", which is the real way of saying "where... to". "gdzie" is commonly used instead, but it is considered colloquial. So this sentence isn't wrong, but definitely could be better.
Now, if we actually wanted to say "ok, so we know they went for the walk... but where are they walking? in the park, in the forest", then perhaps "Gdzie chodzą te kobiety" could work, although I'd go with "Gdzie te kobiety chodzą". Anyway, that's not the most common thing to say.
If they are 'going' right now, then the right verb is "idą". Polish Verbs of Motion actually do show the difference between Present Simple and Present Continuous.