"When do you go to swimming?"
Translation:Hvornår går I til svømning?
I agree, it doesn't make much sense in English. The problem is that translating this concept is rather difficult.
In Danish, if you swim in a swim club, so can say that you "går til svømning" (= go to swimming). This construction can be used for any pastime activities that take place in structured clubs/associations.
Jeg går til ridning hver onsdag (This person is part of a horse riding club and has practise every wednesday)
Jeg gik til fodbold da jeg var lille (He played football when he was little)
Jeg har gået til ballet i 15 år (He has been a ballet dancer in his pastime for 15 years)
To a speaker of German, the meaning is easier to get, since German also makes frequent use of substantivized verbs.
But the English sentence is at least awkward, if not wrong. In English you would add a clarifier like swimming-practice or swimming-club. That's the root of the confusion, here, I guess.