We always were told that you could use the word in before a place which is a large space e.g. country/city etc. Whereas, before a smaller site or place you should use at. But actually I don’t know what the precise scope limitation between those two words is. Large? How large is large? Small? How small?
At is used to talk about the position at a point.
It's very hot at the center of the Earth.
Turn right at the next traffic light.
Sometimes we use at with a large place when we consider it as a point that exists on a journey, as a meeting-place, or as the place where something happens:
You have to change trains at Didcot.
Let's meet at the station.
In is used for position in a three-dimensional space (when something is surrounded on all sides):
I don’t think he is in his office.
Let's go for a walk in the woods.