You could say
"¿Disculpe, dónde está la estación del tren?"
Disculpe = Excuse me
dónde está = Where is
la estación del tren = the train station
In the same context maybe you could also use the next expressions to ask for places
¿Cómo llego a (nombre del lugar?) = How do I get to (name of the place)
¿Dónde puedo encontrar (artículo)(nombre del lugar?) = Where can I find (name of the place)
(artículo)(nombre del lugar) más cercana = the nearest (name of the place)
٣١ يوليو ٢٠٠٨
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A little fact is that train in spanish is usually used only for mechanical or electric trains, as oposed to sometimes the subway trains in english.
If you're talking about the subway, you could use the word 'metro', as in 'estación de metro'.