I'd like to know if there is a special transport from Hong Kong to Window of the World (Shenzhen)? Thank you!

I just know there are direct cross-border coaches from HK to SZ Bay port, from where you can take the local bus no. 90 to the Window of the World.

Well, the coaches can be caught at HK-Macau Ferry Terminal near Sheung Wan, Times Square, MongKok New Century Square, Ocean Park or China Harbor City.

Thanks Rita! Is there a formal website that houses this kind of information? Such as that of the bus company? Esp the border crossing ones? Thanks again!

I just know that the corss-border coaches are operated mainly by China Link Bus Company and China Travel Tours Transportation Development Bus Company. You can try to search the corresponding information on the internet.
In addition, you may also find the relevant information at the official website of HKIA. Just try it!