Learn Arabic (Modern Standard): هذه المرأة مغربية.

Yes, literally it translates to "this the-woman." In Arabic, when you want to say "this [noun]," the noun must have the definite article "the" (ال). So "this woman" is هذه المرأة. If you leave out "the," the meaning changes into a completely different sentence: "This is a woman" (هذه امرأة).

Where is the word for "is" in this sentence?

There is no word for "is" used here. In Arabic, simple present tense sentences do not use a "to be" verb. You just state the subject, "this woman" (هذه المرأة), followed immediately by the description, "Moroccan" (مغربية). The "is" is automatically understood by putting the two parts together.

How do we know the word for "Moroccan" is feminine?

The word مغربية ends with the letter taa marbuta (ة), which is the standard ending for feminine words. Adjectives and descriptions must always match the gender of the person or thing they describe. If we were talking about a man, we would drop the ة and say مغربي.

The word for "the woman" is المرأة (al-mar'a). Isn't the word for "a woman" امرأة (imra'a)?

Yes, they are the exact same word, but it has a special spelling trick! When you add "the" (ال) to the word for "a woman" (امرأة), the Alif letter at the very beginning drops out completely. That is why "the woman" becomes المرأة (al-mar'a) instead of "al-imra'a".