Getting away from the central station should be easy. You had read all about the means of transport that surround it, yet reality is more harsh than even the best preparations could accomodate for. Vehicles around you are departing at various moments at various spots. If there is a system to their ways, it is impossible to tell from the middle of it all. You'll have to improvise.
Find the way out of the train station to escape it.
You have only just arrived at the station.
Get back into the tunnels, from where you ascended from your train.
Go
It should bring you closer to your destination.
Go
Try to escape this maze, simply by closing your eyes and stepping outside of it.
Go
The correct station will not be able to escape your gaze.
Go