Distant-join stations is an option available since r14919 or OpenTTD 0.7.0. It can be found in the "Stations" tab of the Advanced Settings window.
If enabled, you can hold Ctrl while building any kind of station to see a list of nearby stations of your company. You can then choose any of them to join the newly built station with it, or choose "Build a separate station" to do so.
You can only join stations that are within the station spread limit. Stations that are further away will not be shown in the selection window.
This feature was based on the patch by Frostregen (#2291), which can be found here. This feature was included into trunk r14919.