I have built two larger train stations ... and the construction of each has been written up on our club website at www.ovgrs.org
The first station, built for my own Rorthland railroad is shown here completed but before it was installed on the railroad.
The window construction is described in the writeup but is essentially plexi for the glass and then the frames were made by applying glazier's tape cut to size. It was a tedious job but I could not think of another way to simulate the steel framed windows typical in the old stone buildings here.
The second station was buit by myself and Lawrence Watkins - it was installed in Craig Leigh on the IPP&W, Fred Mill's railroad which hosts the OVGRS.
It is shown here after installation
Windows for this structure were poured from RP25 using moulds obtained from Linda Spencer (the Jigstone lady and American Invasion participant).
Right beside the Craig Leigh station is the Dominion Post Office another structure built by Lawrence Watkins and myself. It is a large building flat and is shown here after installation
Again windows were poured from RP25.
In other structures that OVGRS members have built, we have used purchased windows and doors as well as simulating windows by using eggcrate shaped light diffusers and so on.
In general, cast windows that are bought save work BUT the choice is limited both in style and size and they are very expensive. My preference would by to cast the windows even if it means making your own mould from latex. For those older large public buildings (like train stations), the window styles were often ornate and capturing that look is usually integral to achieving the model. In those cases, scratchbuilding, using techniques as described by Bruce Chandler, is likely the best approach.
Taking a shortcut by buyibg windows that do not give the effect you seek is not really much of a shortcut. After all, the construction of a large station will likely involve 100 plus hours of your time. Saving 2 or 3 hours is not really very meaningful.
As an aside, there are two other aspects that I have come to appreciate after scratchbuilding a few large buildings.
The first is the design activity. Large building require aome condensing to make them fit - retaining the key architectural pieces in a harmonious and believable package takes a fair amount of effort. Mockups really help unless you are a fairly skilled draftsman and can work from elevations.
The second is construction technique - roofs are never easy to build. They must be watertight and stand UV plus be strong enough to take a bit of jolt from the weather. And, more critically, they must look the part. Large buildings have large and often architecturally interesting rooflines with many valleys gables and dormers. These are a challenge!
Good luck with your station - post pics of your work along the way!
Regards ... Doug