"Ils sont en train d'aller déjeuner."
Translation:They are going to lunch.
Être (conjugated) + en train de/d' + an infinitive verb is idiomatic to mean that the subject of the sentence is doing that activity right now. French doesn't have a continuous present tense like English, so if they want to show that something is not only present tense but occurring at this moment they use "en train de". Je suis en train d’écrire. = I am (in the middle of) writing. / Vous êtes en train de lire. = You are reading (right now).
There are many possible translations here. I would think of "They are going to/for lunch" as "Ils vont déjeuner" in french. Believing that 'en train' indicated that the action was happening right now I wrote "They are on the way to lunch" but it was not accepted. I am not sure now whether this has just not made the probably long list or there is a mistake in my sentence.