It can refer to actually going, but can also be used to the beginning of any enterprise/program/activity. It can also be used to denigrate a recognized course of argument (to belittle it as soon as it starts):
Going: (A family in a car, off on holiday) - 'Tickets? Passports?... Right, here we go.'
Beginning: (Beginning a bit of DIY) - 'Tools? Instructions?... Right, here we go.'
Sarcasm: (Political debaters) - 'Here we go again! Mr Brown always says the taxpayer will foot the bill.'
I believe Ronald Reagan used the last version - though he might have said 'There you go' (which means much the same, but with a more disdainful and argumentative tone).