In order to express direction, you will need the verbs of motion: идти (to go on foot) and ехать (to go by transport).

These verbs are used with the prepositions в (to) and на (to). Read about the difference between "в" and "на" here. Use the accusative case to show that the place (or event) is a direction:
​

• Я еду в Москву - I go to Moscow.
• Он идёт на урок - He goes to the lesson.

Note that the accusative case for directions is used with places or events (not the people). So basically you change only feminine nouns (they end with -а or -я). Find more about cases here.

Examples
​
1. Я еду в Египет - I go to Egypt.
2. Я еду в Россию - I go to Russia.
3. Я еду в Осло - I go to Oslo.
4. Я еду в Афины - I go to Athens.