The answer is "adónde": Ellos caminan a la biblioteca.
Explanation:
"Adónde" is used to ask about the destination or direction of movement. The question would be "¿Adónde caminan ellos?" which translates to "Where are they walking to?" The answer is "Ellos caminan a la biblioteca" (They are walking to the library).
Here is a brief explanation of why the other options are incorrect in this context:
"Cuántos" asks about quantity (e.g., "How many?").
"Por qué" asks for a reason (e.g., "Why?").
"Quiénes" asks about people in the plural form (e.g., "Who?").
"Cuáles" asks about choices or options (e.g., "Which ones?").
"De dónde" asks about origin (e.g., "From where?").
"Qué" asks about things or actions (e.g., "What?").
"Cuándo" asks about time (e.g., "When?").
"Dónde" asks about location (e.g., "Where?").
"Quién" asks about a person in the singular form (e.g., "Who?").