Learn Dutch: We halen het brood bij de supermarkt. - We are getting the bread at the supermarket.

The preposition bij is used to mean "at" when referring to a general location, a business, or an institution. If you said in de supermarkt, you would specifically emphasize being "inside the supermarket building." For running errands, bij is the most natural choice.

Why does "are getting" translate to halen? Could I use krijgen?

You cannot use krijgen here. Krijgen means to receive something passively (like getting a gift). Halen means to actively go and fetch something. Since you are going to the store to pick up the bread, halen is the correct verb.

The English translation is "are getting", but where is the word for "are" in the Dutch sentence?

Dutch simple present tense covers both English present tenses. We halen translates to both "We get" and "We are getting." You do not need to add a translation for the word "are."

Why is it het brood but de supermarkt?

Dutch has two words for "the": de and het. Every noun belongs to a category that determines which one it gets. Brood is a "het-word" (neuter), while supermarkt is a "de-word" (common). You simply have to memorize whether a noun takes de or het when you learn it.