When the characters Michael, Laura and Neal travel to Philadelphia, they are seen walking to the train tracks in Grand Central. However, if you actually wanted to travel to Philadelphia, you would have to go to Penn Station. The characters are seen on a Metro North Train. Metro North Trains only travel from Grand Central and go to Upstate New York and Connecticut. When Michael travels back to New York alone, he is seen on a Metro North Train, again. When the characters are seen exiting the train into "Philadelphia", they are still in Grand Central Station.