Thanks for the answers.
@rkkwan
I checked on expedia and opodo. They are three times more expensive than the China Southern website (China Southern about 150 dolars and others 450 for the Guangzhou-Urumqi flight).
Another question: Is it worth to go to Urumqi? I did some research and I found the place very nice (even in winter) or do you have other suggestion? I only have been to Shanghai and Beijing and for my next trip to China I have already reserved hotels in Hong Kong, Guangzhou and Xian.
Thanks for the answers!