Turn left into Main Street This means AFTER you turn you will get to Main Street. Turn left on Main Street This means when you GET to Main Street you will make your turn. Turn left at Main Street. We do not say like this but i believe people will understand if you do say. By the way, people from UK usually do "in". But for United States, people use "on" more often.

I'll just add that you could use AT for corners, buildings, monuments, etc. Turn left AT the corner/junction/the post office/the fountain. In the UK we call 'Main Street' the High Street' ... and we wouldn't say ON - as Jessie says. And AT would work with it. "Turn left at the High Street." (IN would also work). I think "Turn left AT the High Street" suggests an immediate turn left. Turn left IN the High Street suggests somewhere along the road. And I hope they would say exactly where!