The correct preposition to use in this sentence is "on" because it refers to a movement along a path or journey.
• "On our way" is a common phrase used to indicate being in the process of travelling toward a destination.
• "At our way" (incorrect) is grammatically incorrect because "at" is used for specific points or locations, not movement.
• "In our way" (incorrect) means something is blocking or obstructing, which is not the intended meaning here.
• "Over our way" (incorrect) is not a commonly used phrase in English.
• "By our way" (incorrect) does not fit logically in this context.
Thus, the correct answer is option (b) "on."