That's a fairly easy question to answer, so I'm glad you asked it.
When we speak of a Coast Guard station, we're normally talking about a Coast Guard search and rescue station. It's a relatively small building in which the crew live and work. They will also have a search and rescue lifeboat along with a fast rescue craft. They will maintain a listening watch. They have a radio on 24 hours day. They also have communications with MCTS centres and with the joint rescue coordination centre, which organizes the coordination of search and rescue calls. That's a Coast Guard station, in our parlance.
An MCTS centre is a critical link between mariners on the water and the shore. It coordinates and receives distress calls and makes sure they are responded to by the joint rescue coordination centre. They also transmit marine weather broadcasts and safety information to mariners. In certain areas of the country, they also organize and coordinate vessel traffic, mainly for commercial shipping.