Transshipment stations are special stations that help in transporting goods. You can't create one through the building menu or in the station option. The only way to create a transshipment station is through using orders. Such station is useful in selected situations - you won't be using it frequently.
What do you gain from a transshipment station?
It improves long-distance transportation. Such station serves as a reloading point. It's perfect when you don't like all of your trains to ride half the map with specific merchandise. By giving specific orders you can make the trains unload their resources or goods on the station that normally wouldn't access these items.
You must create two new connections. One will transport goods (1) and the other will take them to the destination (2). Connection that delivers goods doesn't need to have stations that it will visit assigned or the unload order given (3). Thanks to that it will leave the goods despite the lack of nearby receivers. This enables you to improve transport of large quantities of goods on long distances or to make the production more fluent when the trains aren't fast enough to transport goods.