I want to get a train from Beijing to Shenyang, Which station do I board it?

The station depends on which one you choose. Different types stop at different stations. For most of them it will departs from Beijing Railway Station but for the G types, they will departs from Beijing South Station. The arrive station is the same. Most of them stop at Shengyang North Railway Station and some stop at Shenyang Railway Station. You can check the detailed schedule on this website.