Agent,
I'm very sorry to hear that your pet was killed.
My answer to your question is that he didn't go anywhere, he simply ceased to exist. "Being" dead is functionally equivalent to "being" unborn, though it's only an artifact of language that I speak of 'being" dead, or "being" unborn. In fact, there is no "being" at all associated with death or non-being.
Some people come to love certain trees, for example. Trees are immense and complex living things. People have formed intimate relationships with what others might only think of as "living cellulose." When this tree dies, these people feel a poignant loss much the same as you feel for your dog. Yet, few people think that when trees die, they go to "the big forest in the sky." They think that when a tree dies, it simply dies.
It's the same with farm animals. I walk to work along a number of dairy farms. I occasionally stop to look at, or even pet the cows near the fence. I think cows have lovely eyes, and I've no doubt that if I spent much time with a particular cow I'd develop a bond of friendship with it, much as you felt for your dog. Yet our culture treats cows more as inanimate, than as animate beings. People generally don't believe that the bull or cow which constitutes your hamburger has an individual afterlife. I might as well mention that my brother returned this year from a trip around the world. He was surprised to see the practice in a number of Asian countries of breeding puppies for culinary use. Tom had a number of photos of the cutest little pups waiting in cages for their slaughter. Westerner's are repulsed at the idea of eating puppies. A Hindu thinks a cow is sacred. My wife's Italian cousin loves horse meat. (All meat is the same to me, that's why I'm a vegetarian). My point is that when people use living things as a resource, they typically don't view it as having an afterlife. They only seem willing to grant an afterlife to the animals they love. My own mother fully believes that she'll be reunited with her deceased pets when she dies. I believe that bacteria, trees, dogs, and people, ..., all living things in fact, return to nothingness upon their death.
The reason it's so difficult to accept the finality of death is that an intense emotion drives our wish that what we have loved might live again. I felt it when my father died. A major reason that religions thrive so well is that they tell us that what we want to be true, is in fact true. Common people find comfort in religion or other such fairy-tales. Intellectuals, on the other hand, understand that their desires are an unreliable source for their beliefs. An intellectually honest man believes what he has to believe, rather than what he wants to believe.
I understand your reaction to Cris's reply. The machines built thus far by humans seem quite primative next to an earthworm. However, I'd like to assure you that an animal brain is only a biological machine. A single neuron has no consciousness, but a network of a hundred million neurons may well have consciousness.
You might think of an analogy of the single celled human zygote at the moment of conception. It has the intelligence of a virus at this moment. Yet through cellular division and continually increasing organization, it becomes ever-more human in the course of its nine month gestation. The change is so gradual that it would be difficult to determine the exact cell division which divides a pre-fetal organism from a human fetus. Likewise, as computer hardware and software grow in complexity, it will be similarly difficult to determine when computers move from the inanimate to the animate. We shall face some interesting ethical questions concerning the nature of life, at some point in our future.
Agent, I'm telling you that the consciousness of any animal (ourselves included) is the result of a vastly complex biological machine, yet a machine none-the-less. That statement takes nothing away from our capability to love, or to write poetry. When we die, we simply return to that which we were before our birth; nothingness. Unfortunately, there is nothing that could bring back your dog, yet the love you have for your dog does not have to die. You may transfer this love to another living thing, a person, another pet, or even a farm animal. All living things are worthy of our love.
Hope this helped,
Michael