Hi Helen! How are you? Good to see you again. :)
"in", "for", and "at" are used interchangeably in most cases.
As a guideline, you work >for< an employer, >in< a department, >at< a location. For example, you could work >for< McDonalds, >in< the finance department, >at< the research facility.
1) I work at a radio station
2) I work in a radio station
3) I work for a radio station
They are all correct! Though they say something slightly different. But it's clear you are working there, which is what you want to say, right?