In regards to students picking where they would like to be stationed, you will be ranked numerically once at the Academy based upon your physical, academic and military scores. This creates a class ranking system, from the very first cadet in the class to the last. Win the time comes, you will put in your ranked ordered preferences of where you want to be stationed and also what part of the Army you will join. Each station and each part has specific maximums for the graduating class, so they will be given out in the order of the class. For instance, if 500 people opt to join infantry, but only 250 spots are open, then only the 250 highest rated in the "class rank" of those 500 will get infantry. Same works for station.
Eventually, I would say there is definitely a shot to work at the Pentagon, but know that most likely this would occur much further down the road, after you have gained expertise and moved into a higher rank. There are simply less of a need for 2nd Lts. at the Pentagon than there is for them in other parts of the Army.
The other option would be to serve your time after the Academy, get out, and then apply to join either the CIA, FBI or one of those organizations. Nothing looks better on a job application than a West Point education and military service. Best of Luck!