These two words are what we called prepositions. The word "in" denotes a general statement when referring to places. For example. I live in America. Thus, there is no specific location on which part of America I live. On the other hand, the word "at" denotes a specific location. For example, I live at #101 Cummings Street, New York City.

at = directly there. You are right at the place. in = inside somewhere.