Learn French: Vous venez à la gare avec nous ? - Are you coming to the station with us?

Both! In French, the present tense covers both general facts ("you come") and actions happening right now ("you are coming"). Because the subject is vous (you), the verb venir (to come) is conjugated as venez.

The sentence is in the order of a normal statement. Is it okay to ask a question this way?

Yes! In everyday spoken French, it is very common to ask a question simply by raising the pitch of your voice at the end of a regular statement. You could also make it a question by putting est-ce que at the beginning: Est-ce que vous venez à la gare avec nous ?

Why is it à la gare and not just à gare or au gare?

Because gare (train station) is a feminine noun, you must use the feminine word for "the", which is la. The preposition à (to/at) does not combine with la. If the destination were masculine, like le parc, à and le would merge into the single word au.

Doesn't nous usually mean "we"? Why is it translated as "us" here?