Je veux une baguette. Je vais______.
The above means "I want a baguette. I'm going to a la boulangerie".
a la boulangerie, or the third choice, is the best answer, for a la boulangerie means "bakery", in which a bakery makes and sells bread (and baguette is a type of bread).
hope this helps
The word that suits your sentence best is à la boulangerie (to the bakery), so C.
Hope it helped,
BioTeacher101