'does one have to go to police station'


Only if you have to pee REAL bad, or if they arrest you. If the want to question you, they might just come to your house. Letting them in may be optional, unless they have a warrant..which they can get pretty easy. HOWEVER, 999's advice is good....keeping in mind, that when you ask for a lawyer to be present(which you should), the flags go up for the cops, figuring that you feel threatened(because you might have been involved in whatever they're bugging you about).
Myself, I'm pretty co-operative..which fortunately hasn't have to have been much need.
Keep your act together, play music..keep away from jerks who attract the law toward them..obey as many laws as you can keep track of, and they should leave you alone.

GfS