Is it correct to say:
1. I filed a complaint in the police station.
Or
2. I filed a complaint at the police station.
At is the correct choice in this case.
The debates about "at vs in" never cease.
In this case, it would seem, "at" would indicate that the person is at a certain place performing a task, or tasks, characteristic of that place (such as filing a complaint). "In" would indicate that he or she popped into the police station on some business that isn't directly related to police matters.
A century ago folks used to say "I've just arrived at Paris," whereas now they say "I've just arrived in Paris."