There is a lot of argument about this so-called rule, but almost all style books and usage guides say that it is not a rule of English. Many prepositions function as particles that are attached to verbs and create specific units of meaning. You look up a phone number and start up an engine, but nothing goes up. It is wrong, however, to end a sentence with an unnecessary preposition:
Where is the library at?
I don't know where he went to.
But, if you say, "With whom did she go?" instead of, "Who did she go with?" you'll sound like a pretentious dweeb.