Learn French: Nous allons au théâtre ce soir. - We are going to the theater tonight.

In French, the preposition à (to) and the masculine word for "the" (le) must combine into the single word au. You will never say or write à le. Since théâtre is a masculine noun, "to the theater" becomes au théâtre.

The translation says "are going", but I only see allons. Where is the word for "are"?

French doesn't have a separate "-ing" tense like English does. The single verb allons translates to both "go" and "are going". So, Nous allons handles the whole meaning of "We are going" all by itself.

The translation says "tonight", but doesn't ce mean "this"?

Yes! ce means "this" and soir means "evening". So ce soir literally means "this evening", which is the exact way French people express the English idea of "tonight".

Should I pronounce the 's' at the end of Nous?

Yes, you will pronounce it like a "z" sound here. Because the next word (allons) starts with a vowel, the normally silent 's' on Nous connects to it. This sound connection is called a liaison, making the first two words sound like "noo-zah-lohn".