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try relocating and see if it works.
But from what I can imagine, you might have 'snapping' turned off, and you're not connecting to the existing rail (from the station) properly. With snapping turned off, you need to be very precise with your mouse movements in order to make a proper conection to an existing piece of rail/road etc.
If this is indeed the case, then turn snapping back on (availlable through the UI when you're building the rail) and try again.