"voy al" or "estoy yendo"

Hola Igor

Sometimes, the translations in English and Spanish don't match exactly. We try to use the most natural way in English. In this case, we're using "am going " in the English because using the simple present "I go" would sound awkward. However, the hint is saying " Conjugate "ir" en el Presente" - this is referring to the Present tense, not the Continuous ( am going..) 

When you're doing tests on conjugation lessons you will always find a hint telling you which tense to use, even if the translation in English occasionally might not match.

I hope it clarifies it.

Saludos