Thomas F has asked me if the word 'said' in the sentence below is correct, or if we need to use 'asked' instead:
The police officer said to us, 'Where are you going?'
Because this is direct speech (where we write the actual words that were said) it's less important to use a reporting verb (like 'asked', 'begged', 'inquired' etc). This is because we know very clearly that the speech is a question - we can see the question mark and it has a question word order. If we use reported speech we need to use a reporting verb to give more information about what was said:
The police officer said to us where we were going. Is not correct, we'd have to say:
The police officer asked us where we were going. Is correct.
Hope this helps, Thomas!