Learn Russian: Вечером я иду на концерт. - In the evening I am going to the concert.

In Russian, parts of the day use a special grammatical form (called the Instrumental case) to say that something happens during that time. So, the noun вечер changes its ending to become вечером (in the evening). You do not need a separate preposition.

Why do we use на instead of в for "to the concert"?

While в is usually used when you are going physically inside a place, на is the standard preposition for attending events, gatherings, and activities. Since a concert is an event, we must say на концерт.

We are using the Accusative case for our destination, so why didn't the ending of концерт change?

You are exactly right that this is the Accusative case! However, masculine nouns that are inanimate (things and concepts, not people or animals) do not change their endings in the Accusative. The word концерт looks exactly the same here as it does in its basic dictionary form.

Could I use еду instead of иду in this sentence?

иду specifically means going on foot, while еду means going by transport. If the concert is across town and you are taking a taxi or the metro, you would use еду. If it is a short walk, иду is the correct choice.