Sometimes ATC must instruct you to go around after you have been cleared to land. This happens when traffic conflicts arise, the runway becomes blocked, wind conditions change unexpectedly, or another emergency requires immediate action. ATC has the authority and responsibility to issue a go-around at any point. When you hear "go around," you must execute it immediately, climbing on runway heading unless otherwise instructed.
The critical point is that a go-around instruction is a clearance. You comply immediately and do not question it until you are safe and established in the climb. Then you confirm with ATC what happened.
ATC-Initiated Go-Around
Lyons Tower · F-ABCD
PILOT: Lyons Tower, F-ABCD, final runway 03.
ATC F-ABCD, go around, aircraft on runway, climb to flight level two-zero-zero.
PILOT: Going around, climb to flight level two-zero-zero, F-ABCD.
In this case, ATC detected traffic on the runway and immediately instructed a go-around. The pilot complies without argument and confirms the climb clearance. ATC does the thinking; you do the flying.