The Volterra Misericordia was born in 1291 and is the fifth oldest in Italy after Florence (1244, located in the Cathedral Square), Siena, Pontremoli, and Rifredi. It's the oldest association in Volterra. The icon marks the location of the Chiesa della Misericordia, where there is a small museum of the history of the Volterra Misericordia. To find out more about the operations, see Oratorio della Misericordia di Volterra.
Volterra is quite a compact town; it can be seen in a day. But there are fine restaurants here--and San Gimignano is close--so it doesn't make a bad base for a stay of a week or more.
Volterra doesn't have a train station. The bus terminal in Volterra is on Piazza Martiri della Liberta.
For inexpensive lodging in Volterra, check out Hostelz: Volterra.