There are several gyms in Urumqi but the best and newest one is just inside the south entrance of the People's Park.  They have a swimming pool as well as various equipment, showers, lockers etc.  Membership costs about Y1300 although they told me last year that if u sign up with a friend you'll get a discount.  They also have lots of dancing classes you can attend.

If that doesn't inspire you you can go to any of the many Manhattan branches around the city 曼哈顿 with yearly membership going for around Y700 and up depending on which centre you chose.  I used to have a membership at the one on Zhong Shan Lu but they don't take care of their machines very well and what's worse they seemed to always be playing Rambo on their TVs...