You could certainly substitute "work on" for "work at" in the sentence you have given without changing the meaning much, if any.
I don't think you can always use the terms interchangably, however. To "work at" something implies a long-term project that can't be completed quickly, or ever. For example, if I struggle with being overweight, I might say: "I really have to work at keeping my weight down." On the other hand, you can "work on" something as short-term as a paper for school or cleaning one's house, both of which can be accomplished in the near future.