Learn Spanish (Spain): El profesor llama al estudiante.

Al is a mandatory contraction of the preposition a and the masculine word for "the", el. In Spanish, whenever a and el are next to each other, they always combine into al.

Why do we need the word "a" before the student in the first place?

This is known as the "personal a". In Spanish, when the target of an action is a specific person, you must put the word a right before them. Since the teacher is calling a person, we say llama a el estudiante, which shrinks down to llama al estudiante.

Does the word "estudiante" change if the student is female?

The word estudiante stays exactly the same for both men and women. We only know this specific student is male because the sentence uses al (which contains the masculine el). If the teacher were calling a female student, it would be llama a la estudiante.

How would I use a question word to ask "Who does the teacher call?"

You would use the question word quién (who). Because of the "personal a" rule for people, you must also keep the a at the very start of your question: ¿A quién llama el profesor?