Sarai Rohilla station is in New Delhi - It is about 4kms from New Delhi. This station is in Central Delhi - It is near to Karol Bagh, Jhandewalan, and West Delhi like Paschim Vihar. On the other side its near New Delhi Rly Stn, con. Place etc.
There is nothing to worry about. Taxis, Autos are avalable from PF 1 side.