أُريدُ أَنْ أذْهَبَ and أُريدُ الذَّهابَ – Does it mean the same?

No! They both mean exactly the same: I want to go. The word ذِهابٌ is the مَصْدَر of ذَهَبَ. You can build the الْمَصْدَر الْمُؤَوَّل by using the particles أَنْ or ما. They are a so called حَرْف مَصْدَرِيّ. Let us have a look at it: أَنْ يَذْهَبَ = ذَهابٌ[…]