Excuse me, where is a police station?
Possible, but assumes you don't care which one, and maybe this question is just because you want to know what the city is like-- you know there are several police stations, and you want to know where one is. Afterwards, you might ask "Ok, is there another one nearby also?"
Your goal: information about the police stations in the city.
Excuse me, where is the police station?
This could be asked either:
1. If you have a specific station in mind.
2. If you assume a station exists, and only one matters.
Goal: you probably need help.
For (2), this is a definiteness of assumption [my term, can't think of a real technical term at the moment]: you assume there is a police station and you want to ask about it. Everyone knows that cities have police stations (and maybe only one). And your specific goal is about finding it for help or use: because of that, no other possible stations are relevant, only the first one.
To paragraph: "Where is the police station that I should know about so that I can get help there if I need it" -- other stations aren't important then. It's like saying "Where is the closest or contextually best police station."
It's a strange use but happens often when we assume an inherent relationship between two entities:
"Oh, look at the lost dog. Where is THE owner?"
"This is a great book. Who is THE author?"
"I don't feel well. I want to go home. Where is THE exit?"
It must be reasonable that there is one unique (or most important) entity. For example, this sentence is strange:
"You think that's a good book? Show me the page!"
That's an odd and unlikely sentence, but would possibly work only on the assumption that readers typically decide that a book is good based on only one page. (You can imagine a context.)
