Lyric discussion by Lester 

Cover art for Sweet Child O' Mine lyrics by Guns N' Roses

How about this: Axl misses the times when he was a child, because he has made some wrong decisions in his life. The girl might be an imaginative projection of his innocence (maybe even childhood), a suggestive image of something he had lost forever, summoned from the depths of his memory. He is never getting all this back, and has to cope with it. "Where do we go?" could mean a cry of a confuzed man who came to face the fact, that regardless of whether certain things are gone forever or not, life goes on - the poor man has to move on with the life, even if he doesn't know where to go. I know this is probabely an overinterpretation, but hell, that's the way I feel about it.

@Lester INTERESTING DIFFERENT VEIW OF THE SONG.