Take I-95 to Exit 69 (CT Route 9). Take Route 9 for about 3 Miles to Exit 3 (CT Route 154). The RR Station (which is well marked) is located on CT Route 154.
If you are planning to visit Essex for a day trip, I suggest that you take you car and park it on or around Main St. and walk around. You can walk to the Town Green, the Connecticut River Museum and various shops and restaurants. It's lots of fun.