Q. What happens when we die? Are we judged immediately and our soul sent to Heaven or Hell or what?
A. Lutherans believe that Scripture teaches that at the moment of death the souls of believers enter the joy of heaven (Luke 23:43; Acts 7:59; Rev. 19:13; Phil. 1:23-24), while the souls of unbelievers at death are consigned to "the prison" of everlasting judgment in hell (1 Peter 3:19-20; Acts 1:25). The departed souls remain in heaven or hell until the Day of Judgment, when they shall be reunited with their own bodies (Matt. 10:28; John 5:28-29; John 11:24; Job 19:26).
Therefore, "The Last Judgment is the grand finale of this present world, in which the sentence pronounced in death over the individual will be publicly confirmed and extended to the body, which till then has returned to the dust, from whence it came. He who continues in the faith unto the end has nothing to fear for his soul after death, nor for his body and soul on the Day of Judgment (Rev. 2:10; 14:13)" (Edward Koehler, "A Summary of Christian Doctrine," St. Louis: Concordia, 1939).
You may also want to read the Frequently Asked Question, Asleep Until the End of the World.