The most polite, and easy off the tongue, is:
"You wouldn't happen to know where the police station is, would you?"
Let the more uncouth in our midst disagree. Surely, you can't get more polite than that!
More seriously, how you phrase this depends on the situation. If you accost (approach and talk to) a stranger in the street, then you need to be at your most polite, and precede the above with, " Excuse me, but you wouldn't happen..."
Other posters might like to suggest the phrasing for various other situations, such as having booked into a hotel, and asking the receptionist whom you already chatted with.