Эта дорога ведёт к вокзалу.

to

Breakdown of Эта дорога ведёт к вокзалу.

• вокзал: the station
• этот: this
• вести: to lead

Questions & Answers about Эта дорога ведёт к вокзалу.

Why is it эта дорога and not этот дорога or это дорога?

Because дорога is a feminine noun in Russian, and demonstratives agree with the noun in gender, number, and case.

• эта = feminine, singular, nominative (this)
• этот = masculine, singular, nominative
• это = neuter, singular, nominative
  So with дорога (feminine), you use эта.

What case is дорога in here, and how can I tell?

Дорога is in the nominative case because it’s the subject of the sentence (the thing doing the “leading”). A typical pattern is:
[Subject in nominative] + [verb] + [prepositional phrase]
Here: Эта дорога (subject) ведёт (verb) к вокзалу (destination phrase).

Why does вокзал become вокзалу?

Because the preposition к (meaning toward / to) requires the dative case.

• Dictionary form: вокзал (nominative singular)
• After к: к вокзалу (dative singular)
  For many masculine nouns, dative singular often ends in -у / -ю.