You can enter Kazakhstan by car through many of the border checkpoints on main roads into the country. However, be prepared to wait up to 24 (twenty-four) hours in the queues, with rather poor facilities.
By bus
It is fairly easy to travel from Ürümqi to Almaty via sleeper bus, especially if you aren't in a hurry and don't mind living on a bus for a good 24 to 36 hours. The border crossing itself is a bit of a hike, and you may be made to carry all of your belongings with you for quite a ways in some seriously warm weather. The bus trip and "baggage fees" are around US$45. You can pick up your Kazakhstan visa at the consulate in Urumqi as well, but be prepared to chill for at least a week waiting, and be sure to get a copy of your passport before handing it over.
By boat
Freighters travel regularly between Baku and Aktau, and it is possible to hitch a ride. Note, though, that it is common for ships to get held up, even for weeks, before entering port, so you had better stock up on food and water before boarding
