Generally it is better to go to the station. It is better than having them turn up at your work/home to arrest you.
You need to decide if you want a lawyer present. If I was in your position I'd go down to the station to find out what they want. Under no circumstances should you tell them ANYTHING till you understand what is happening, and even then you may want to just say no comment. If you do not understand what is going on, get assistance. Possibly take a friend with you, though if the police consider you a suspect they won't let them in the room while you are interrogated.