central railway station or Central railway station

It would only be captialized if the name "Central Railway Station" was a proper name.

If one was talking about any railway station, it would not be capitalized.

Reyn is right, as usual. It would be capitalized only if the official name of the station is Central Railway Station (notice, in that case you capitalize all three words). If it's just called "central" because it's centrally located in the city, there's no need to capitalize.