 
where to get the file of hg19 exon, intron, UTR region ? 

I read lots of post in biostar. However it's been a long time post.
Get the respective GTF (annotation) file for your genome. Once you have this you can basically follow https://www.biostars.org/p/112251/#314840 to get the respective features. GTFs can be found at NCBI, Ensembl or GENCODE.