 
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.
Be aware that UTRs are part of exons. So when you get UTR regions from a GTF/GFF, they will overlap with the regions annotated as exons in the GTF. Perhaps what you want is not things annotated as exons, but things annotated as CDS?