Jesus is removing His Church before He sends the judgments which will occur during the Tribulation.
Where are those people going
Christians who are taken out at the Rapture go directly to heaven where we are presented before God the Father and established in eternal and unblameable holiness by God. The judgment of believers works takes place at this time. From that time on, we literally become the saints of the most high God forever. Death and Hell no longer has power over us and we shall rule the earth with our Lord Jesus Christ at His return with a rod of iron (Rev 20:1-6).
The Rapture, or "Being caught up", is to be forever with Yashua. So where is Yashua going when He comes the second time?