Your first issue is going to be finding a hotel in Urumqi: not that many hotels in the city will accept foreigners, so make sure you find one that does, and book in advance.
Urumqi has at times been horrible in recent years, with invasive checkpoints nearly every time you walk into a building, and harassment from police and quasi-police at times even just while walking the streets. It seems to ebb and flow. I haven't been to the city recently enough to know exactly what you should expect at the moment.
Elsewhere, northern Xinjiang (where there aren't all that many Uighurs, particularly outside of Urumqi) tends to be rather calmer than southern Xinjiang. Certainly expect a lot of checkpoints though. In my experience, police are much more likely to hassle you if you give the impression that you want to spend the night in their town. They're much less likely to bother you if you're just passing through on your way somewhere else. But certainly expect some problems.
I have no experience of the border crossing, but there's been at least one recent report on here.
About the ‘problem’ I couldn’t find any information about that in china internet.
Well there you have one of the biggest problems in and of itself.
