Learn Polish: Nie, jadę na dworzec. - No, I am driving to the train station.

jadę comes from jechać, which means to go by a vehicle (like a car, bus, or taxi). Because this shows you are taking transport, you must use a vehicle verb. If you were walking to the station on foot, you would use idę (from iść, to go on foot).

Why is the preposition na used here for "to" instead of do?

Usually, "to a place" is translated as do. However, for certain public places, open areas, and events, Polish uses na (which otherwise means "on"). dworzec (train station) is one of these traditional exceptions that always takes na when you are going there.

Where is the word for "I" in this sentence?

It is built right into the verb! The -ę ending on jadę tells us the subject is "I". In Polish, you usually drop the pronoun ja (I) because the verb form makes it completely obvious who is doing the action.

Did the word dworzec change its ending after na?

It didn't change its spelling, but grammatically it is in the Accusative case, which is the form used for the destination of your motion. For masculine "inanimate" nouns (objects or places, not people or animals) like dworzec, the Accusative form looks exactly the same as the basic dictionary form.