Breakdown of Я иду на вокзал.
я
I
на
on, at / by (transport) / to (a place) / to (in answer to)
идти
to go (on foot) / to proceed, go (of a process)
вокзал
train station
Questions & Answers about Я иду на вокзал.
Why didn't the ending of вокзал change in the Accusative case?
Because вокзал is a masculine inanimate noun (it is a place, not a living person or animal). For masculine inanimate nouns, the Accusative case looks exactly the same as the dictionary (Nominative) form. If the destination was feminine, like школа (school), it would change to школу.
Why does the sentence use на instead of в for "to"?
While в is the most common preposition for expressing destination, some specific places require на. Вокзал (train station) is one of these exceptions. You just have to memorize that in Russian, you go "onto" a train station (на вокзал) rather than "into" it.
If I wanted to ask the question that leads to this answer, how would I ask "Where are you going?"
You would ask: Куда ты идёшь? Because you are asking about a destination (the place someone is currently heading toward), you must use the destination question word куда (where to) instead of the static location word где (where at).
Does иду imply I am walking or taking a vehicle to the train station?