Stations are a game mechanic that lets you share cities and railways with other players when determining if you have completed a destination ticket. As long as you don't build any, you will unlock this achievement the first time you get a win on the Europe map. As such, it should unlock when you are working toward "European Track Star."
This can be unlocked in local play or on LIVE, but can only be earned on the Europe map. If you are playing on LIVE, every participant must have the DLC to join the match.