She arrived __________ the station late.

This question focuses on the correct use of prepositions of place, specifically with the verb 'arrive.' When referring to arrival at a specific, relatively small, or defined location such as a station, airport, school, or office, the preposition 'at' is typically used. We say 'arrive at the station,' 'arrive at the airport,' or 'arrive at the hotel.' In contrast, 'arrive in' is generally used for larger geographical areas like cities, countries, or continents (e.g., 'arrive in London,' 'arrive in France'). The preposition 'on' is used for surfaces or specific types of public transport (e.g., 'on the train,' 'on the bus,' 'on the platform'), but not for the destination itself in this context. 'With' implies accompaniment and is grammatically incorrect here. Therefore, 'at' is the only appropriate preposition to indicate arrival at the specific location of 'the station,' making option A the correct answer.