"My sister works at the station" is most common. "My sister works in the station" would be unusual. We might say "work in finance" or "work in France" but not usually "work in" + location. "I'm at the station" is the more general location (you could be outside, or maybe the building); "I'm in the station" means you are inside the building. There's no simple rule with these words, and even native speakers might use them differently.

When you say, "My sister works at the station", you are telling us WHERE she works. When you say, "My sister works in the station", you are telling us that at the station, she is working INSIDE.

Thanks Fraser!

''Works in the station'' i would take it that she worked within the buildong but not for them. ''Works at the station'' i would presume she worked for the station... :) 'Six and half a dozen' mate

Thanks Sven! The context needs to be analyzed, right?