King Cross's Platform 9 3/4: we can go "there" by throwing ourselves on the wall between Platforms 9 and 10.
But where is that "there"?
Is it on King's Cross? Then where at King's Cross?
What is this "there"???
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Since Harry and Ron were able to follow it in the flying car during Chamber of Secrets pretty much straight after it left the station, I think we should conclude that it's just a platform located somewhere in (or very near to) King's Cross station that is hidden - just like its entrance - from Muggles. I really don't think we're going to get more precise than that, though.
As for why the gateway to the hidden platform doesn't just lead straight to Hogwarts, that's a great question. It has kind of been addressed already in this question: Why was a regular train used to transport students to Hogwarts?
It is as many people know located between platforms 9/10. Harry and Ron can get to it by using the car which means it is accessible through more than one approach. If you have watched the last film where hagrid takes harry to the burrows where everyone underage takes pollyjuice potion to look like harry. At the end where hagrid regains consciousness the flying motorbike is seen to pass through a puff of cloud before it is clearly visible that the burrows is there. I'm only assuming that you have to be of magical blood to be able to see the track and the hogwarts express so to the naked eye it is just fields?? Correct me if I'm chatting utter pixie poo this means that it is in a lost location that only wizards and witches know about?