Hi Raul,
"job" is never used for the location of work. It is used for the position of work (or, less commonly, for an instance of work - a plumber goes to a house to do a job).
We never say "I am going to my job". This is because, again, a job is something you do, not the place at which you do it.
We almost always say "work" in this case.
"I am at work".
"I am going to work".
You can't tell by looking at them, but actually, in these sentences, "work" is a *noun* referring to the location and activity - not a verb!
"Work" is a place!
You could say: "I am going to do some work at work"
and it would be grammatically correct. but you will never hear it because it sounds so redundant :)