That’s a question that tricks everyone (Brazilians included). The word onde means literally “where” and it does not require any preposition before it.
Onde estão minhas chaves?
Where are my keys?
Onde nos encontraremos amanhã?
Where are we meeting tomorrow?
Aonde (a+onde) means “where to” and it has a “sense of movement”. It is used when the verb accepts a preposition. Examples:
Aonde você está indo?
Where are you going (to)?
Aonde ela foi?
Where did she go to?
Therefore, it would be wrong to say “Aonde você mora?” (Where to you live (to)?) or “Aonde ele está escondido?” (Where is he hiding (to)?), because in both of these cases there isn’t a sense of movement or even the need to use a preposition.
The main meaning of donde (de+onde) is “where from”. It is an unusual form, mostly used in Portugal or in old texts. In Brazil, we tend to separate this term into de onde.
Donde chegastes? Da casa de Mateus.
Where did you come from? From Mathew’s.
De onde você veio? Do shopping?
Where did you come from? From the mall?
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