They have different meanings and usages.
a) "at" - in the general location e.g. I am at the station
(I could be inside the station, in the station cafe, on the street outside etc - it doesn't matter more precisely where I am).
b) "in" - confined by something which contains me e.g. I am in the station
(More information than "at" - I am inside the station building)
c) "on" - on top of a surface, or at a specific point on a line e.g. I am on the station (I am on the roof of the station) e.g. The computer is on the table
There are also many idiomatic and figurative usages which you have to learn one by one, but the definitions I have given you are a good start.