Hello, Mr. Butt.
From Urumqi to Lanzhou, it takes 20-25 hours by train. And more 48 hours are needed from Lanzhou to Shenzhen. Besides, there is only one train from Lanzhou to Shenzhen, which is 1182/1183.
From Urumqi to Xian, you need to spend 30-35 hours on the train. While the fastest one takes 29 hours, which is T198. From Xian to Shenzhen, the fastest train K448/K445 will take you about 30 hours.
If you go via Zhengzhou, 35-40 hours will needed from Urumqi to Zhengzhou. Then the fastest train 1538/1539 from Zhengzhou to Shenzhen will take you 25-30 hours.

There are several trains from Urumqi to Lanzhou, Xian or Zhengzhou. The point is you have to find the right train to Shenzhen. You can check the detailed train No. in this page.