ほう (interjection) means “oh” or “wow”, used towards inferiors to show the speaker is amazed or impressed. ほほう can also be used to show a bigger wow.
A verb te-form combined with くる (to come) is used to express the action moving towards the speaker. 向かって is the te-form of 向かう meaning “to head“ so 向かってくる means “to head towards me” or “approach me”.
のか (particles) marked by falling intonation is used to show surprise at what you see or hear. In this case, he sees Jotaro walking towards him, which surprised him.
So ほう…向かってくるのか means “Oh? You’re approaching me?”
A stem of the verb nai-form followed by ずに means “without or instead of doing something”. 逃げない is the nai-form of 逃げる meaning “to run away” so 逃げずに means “instead of running away”
この (this) followed by the speaker’s name (Dio) or first person pronouns emphasises that the speaker is the one which is referred to. It’s often used by someone who is very confident and assertive.
に is the direction particle meaning “to or towards”.
近づいて is the te-form of 近づく meaning “to get close”, so 近づいてくる means “to come close to me” as くる expresses the action moving towards the speaker.
のか is, again, used to show surprise at what you see or hear.
So 逃げずにこのディオに近づいてくるのか directly means “Instead of running away, you’re coming close to this Dio?” which can be translated as “Instead of running away, you’re coming right to me?”
Verb Te-Form + くる／いく
Verb te-form followed by くる is used when the action is moving towards the speaker. In this scene, from Dio’s point of view, Jotaro is coming towards him so he says 向かってくる.
Then what if you are standing by Jotaro’s side, looking at him walking towards Dio?
From your point of view, the action is moving away from you. So you can say 承太郎がディオに向かって “いく” (to go) meaning “Jotaro is heading towards Dio (and going away from me)”.
So depending on the speaker’s point of view, either くる or いく is used after the verb te-form even though the direction of the action is the same.