If there is truly a warrant issued for your arrest, then you have two choices. The first is to do as this apparently police officer stated and go to the station and turn yourself in and the other is to not turn yourself in and then be arrested at the convenience of the State either at your home or at work. The best option is usually to turn yourself in. However, normally you wouldn't want to do that without first firing a criminal defense attorney and having them get more information on the pending charge and also advise you about your options and the procedures once you do turn yourself in.
If you will not, or cannot, hire an attorney at this time, then what I can tell you is that when you turn yourself in (assuming that you do) you do not want to make any
statements to law enforcement (or anyone else for that matter who isn't your attorney) upon or after your booking about the allegations against you. None. That means no trying to explain your way out of the situation. I cannot stress this enough. If you make a statement, it will be used against you by the State.
You may also want to bring a friend or family member with you in case they will need to arrange bail. There is no way I can guess whether or not this will be a case where they will just book you and release you or whether they will keep you until the court sets bail.
If you ultimately truly cannot afford an attorney, then when you are arraigned you can tell the judge you cannot afford an attorney and they will appoint one to represent you for free.
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