A power substation is a place with lots of cables and transformers. When we were you we believed that electricity is generated at these substations. This is not true. The work of a substation is almost the same to the work of that transformer next to your home. At a substation, the voltage of the grid electricity is stepped down to lower voltages. This is because it is not safe to transit electricity as thousands of voltages to homes.
Some substations are small while others are quite big. This depends on the areas served by the substation. A bid substation is needed when an area uses lots of electricity. Since transformers at a substation produce lots of heat, they are constantly cooled to protect them form blowing out. The main coolant is oil. The transformers also have fins to conduct away heat to the air lowing over the fins. Industrial areas usually have a power substation.