I need to know, where the location of train station if I want to travel to Shenzhen from Guangzhou.

From GZ, there are two railway stations having trains for Shenzhen, the South Railway Station and the East Railway Station.
The bullet trains from the East will reach Luohu Railway Station in the end. The ticket fare is around 79.5RMB for the second class seat and 99.5RMB for the first class seat.
The bullet trains from the South one will reach SZ North Railway Station in the Longgang District. The fare is around 74.5RMB for the second class seat and around 99.5RMB for the first class seat.

Hope it helps ~