Learn Portuguese (Portugal): A que horas vais para a estação?

Both are correct, but there is a subtle difference. Using a (which merges with the article to form à) suggests a quick, temporary visit with an immediate return, like dropping someone off. Using para emphasizes the destination itself, or implies you will be there for a longer period, such as waiting to catch a train.

Why do we say A que horas instead of just Que horas?

When asking "at what time" an event happens, Portuguese requires the preposition a at the beginning: A que horas (literally "At what hours"). You only use Que horas without the a when asking for the current time, like in Que horas são? (What time is it?).

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

It is built right into the verb! Vais is the informal "you" form of the verb ir (to go). Because the verb itself already tells us who is doing the action, Portuguese speakers usually drop the pronoun tu (you).

Why don't para and a combine into a single word, the way a + a becomes à?