At refers to a point of time, or a small place (a village or "any town except London and that in which the speaker is."
In refers to a space of time, or a large place (a country or a district or a large city).
In is also used before the name of a town where the speaker lives.
He will come at 4 p.m.
He will come in an hour.
He lives in Calcutta or London.
He lives in Burdwan (i.e., the district of Burdwan: or the town of Burdwan
if the speaker lives there).
He lives at Burdwan (town of Burdwan ; the speaker does not live there).