This question is asking "What are you studying in school?" You could answer "I'm studying..." (math, music, medicine, etc.) Another way to interpret the question is, "What is the purpose of going to school?" That's unlikely to be the intention in most conversations.

The appropriate answer would be to tell the person asking you why you are going to school. For this sort of question, it would be assumed that the conversation would be about a college or university. Your answer might include the main subject or field of study that you are involved in, or what your goal is as you study. For example: Q: "What are are you going to school for?" A: "To learn German and Japanese." This would be an appropriate way to answer. I hope this helps. Let me know if you have more questions.