Albufeira Train Station is actually situated approx 7kms from Albufeira in the village of Ferreiras. There are buses connecting with some trains although not all. A cab might be appropriate.
The Europcar Depot at Rua Doutor Diogo Leote is not that accessible to either the train depot or the intercity bus stops. You would need to take a taxi and that could be a problem, as from memory there are not that many stationed at the Albufeira Bus Terminal.
What might be better would be to take the train from Lisbon to Faro (another twenty minutes or so.)
The Europcar office there, is about a 5 minute walk along a flat street from the Railway Station.
Link here:
http://maps.maporama.com/idl/europcar/partner.aspx?xsl=map&PBC_1_config=default&PBC_1_list=FAOC01&xml=map&lang=EN
Address here:
Europcar FARO CIDADE
AV.DA REPUBLICA,2
8000-079 FARO Portugal
Código estação: FAOC01
Tel.: (351) 823778
Fax: (351) 805051
If you have to go to Albufeira, I would recommend taking the RENEX bus from Lisbon (Oriente) bus station .
You can find the timetables and other info on this recent post on my blog:
http://barlaventostravelblog.blogspot.com/2009/06/lisbon-airport-to-albufeira.html
