Q. What is it supposed to be on the show?

A. A police station.

Q. Where is it supposed to be on the show?

A.  In Precinct 27 of New York City.

 Q. When did we see it on the show?

A. In Episode 1 of Season 2 
 
This is the NYPD Police station where Claudette Wallace and Melvin Oliva, and young Harrison has been assigned to the Homicide Division. It is also where we meet the new Captain Mixon, and his daughter Fiona.

We first see the exterior of the police station before it cuts to an interior scene of Detectives Wallace and Oliva interrogating Don Framt, the New York Ripper.

 
This exterior is seen again in Episode 2, when the press corner Detective Wallace outside the station and grill her about the the Five Borough Killer.
 
But now that Harrison is working as a uniformed police officer at this station, it is certain to be a regular location from now on, so you can expect it to pop up frequently.  

 Q. What is it actually in real life?

A. The home of a venerable trade organization.   

 
Q. Where can I find it in real life?

A. In real life, this building can be found at 20 W. 44th St. ( between 5th and 6th Ave.), in midtown Manhattan. 
 
It is the headquarters of The General Society of Mechanics & Tradesmen of the City of New York, a charitable  organization which dates back to 1785, and which offers free evening classes in various construction & housing trades. The building also includes a trade-related library, an extensive lock collection, and a museum. You can read about the organization here. 
 
The building itself Is listed on the National Register of Historic Places.  
 

 

This building is only used for exterior and establishing shots of the police station . Whenever the scene cuts to the interior of the station, those scenes are filmed on a set inside a soundstage at the studio. 
 
They added a few posters to the left side of the main door to cover up some window displays, but they otherwise left the building basically unchanged . ( You can  even see the Society's “hammer & hand” plaque to the right side of the main door.)     
 
[ It should be noted that this isn't the same fpolice station (22nd Division) location as the previous Season 1, even though Detectives Wallace and Oliva are both working there.  This is supposed to be the 27th precinct, and they used an entirely different building for its exteriors.  
 
Their studio for that first season was up in Yonkers, so the building they chose for the exterior of the police station that year  was also up in Yonkers. This year, they moved down to a new Manhattan studio, so the new police station location is also in Manhattan. ]
 

Here is a matching StreetView of the location: 
 

 
Here is an aerial photo of the location.  And here is a map link.