In general AT works best. I'm at school, I'm at work, I'm at the dentist, at the airport. I'd only use IN if I want to be specific. "I am in the office, in the dentist's surgery, in the school. in the airport (NOT in the car park/canteen). So for a general comment about studying... I'd use AT school.

The correct preposition to use in this sentence is "at." So, it would be: "We study at the school around the corner." The use of "at" in this context is because "at" is commonly used when referring to being physically present or engaged in activities within a particular location. In this case, "at" signifies the specific place where the studying occurs, which is the school that is situated around the corner.