HI, there is no direct trains from Urumchi to Lhasa, you need to change in indway, the best way is to take a train from Urumchi to lanzhou and then there is direct train from lazhou to lhasa. It may take you about 3 days or above totally. There is also no direct flights from urumchi to lhasa, you need to change at xian xianyang international airport. As far as i know that you need a travel permit if you want to visit tibet, and the permit can only be applied by the travel agency orgnized by Chinese. Most probably, you need to have a travel permit. So my opinion is to follw a travel agency, they will arrange all the affairs for you. What's more, the air ticket you get from them can be quite cheap than that of other places. That's all my advise and hope it helps.