I will going guangzhou during canton fair and I plan to go shenzhen to see window of the world and splendid china.

I suggest you to choose one of them to visit in detail. According to my experiences, visiting the two places in one day will be rush.
From the park area, you can go to Yuexiu Park Station to take subway line 2 to reach Gongyuanqian Station where you can find line 1 can take you to reach local East Railway Station. At this trains station, bullet trains for SZ can be found. Upon reaching SZ, you can walk to reach Luohu Station to take Luobao Line to reach the Window of World directly.