Why do they tell women to leave their babies at the Police or Fire Station then arrest them when they do?

You're misinformed. Police stations and fire stations are now safe places to surrender a baby without fear of prosecution if no other laws have been broken. Our police station and others have a sign designating it as a safe place to leave your baby. But it has to be done without the risk of harm for the baby. Bring the baby into the station and advise an officer of the situation and there is no fear of prosecution.