Well, you could take the subway, but it's not a long walk. Only about a mile. 125 West 45th Street is between 6th and 7th Avenues. So, you just walk west on 42nd Street (Grand Central is on the north side of 42nd, and traffic on the north side of the street flows west, so you just follow the direction that the traffic is going on the side of the street you are on). Walk west on 42nd until you get to 6th Avenue. Turn right onto 6th Avenue, and walk north to 45th Street. Then turn left onto 45th between 6th and 7th.
If you want to take the subway, then take the S shuttle train (color code grey) east across 42nd Street, from Grand Central (East 42nd) to Times Square (West 42nd).
You will exit the subway at West 42nd and 7th Avenue. Walk north on 7th to 45th, and then make a right onto 45th between 7th and 6th.
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