Is there any bus to window of the world from shenzhen railway station?

You can take bus no.101, get of at 1st Window of the World Stop. Then walk southwest around 360 yards (330 meters).

Actually, it is not the best choice for you. You are advised to take subway Luobao line to get to Window of the World Station, Exit I. It takes around 30 mins on the way. The ticket fare is CNY 5 per person. Then walk southwest around 250 yards (230 meters) to arrive at the scenic spot.