"The children at the railway station are going to the big clock."

Translation: A gyerekek a pályaudvaron a nagy órához mennek.

[icalregn]

Ez igy helyes. This is correct like this.

[sididris]

Can one use pályaudvarnél to mean at the station?

[icalregn]

that is correct, but you have to be careful with the suffix. it’s pályaudvarnÁl. so letter Á is the correct one.:)

[DejaSalirlaLuz]

How do I know whether the children at the station are going to the big clock ("a pályaudvaron" modifies "a gyerekek") or the children are going to the big clock at the station ("a pályaudvaron" modifies "az órához")? Is it word order or context dependent?

[icalregn]

it's independent of everything, nothing modifies nothing. just as "a pályaudvaron" which means "at the railway station" doesn't modify "a gyerekek" - "the children" in English either. in Hungarian you, most of the times, use suffixes and prefixes to define certain features of a certain word. it has absolutely no logic in it, you simply have to learn it. good luck, because as far as I know the Hungarian language has about 700 suffixes and prefixes to modify a word.