Here's the answer:
“火车站在哪里?”
(huǒchē zhàn zài nálǐ?)
Watch a real native speaker say it:
Here's how it sounds in a textbook:
You could also say:
- huǒchēzhànzàinálǐ?
- huǒ chē zhàn zài ná lǐ?
Fun fact: the hundreds of thousands of people learning Chinese with Memrise get this phrase correct 95.11% of the time!