Mumbai - Burhanpur - Burhanpur is very conveniently connected from Mumbai (Bombay). It is a one night train journey, with the train leaving Bombay at around 10.30 pm and reaching Burhanpur at 8.30 am in the morning.
The khidmat and royal treatment to zuwwars starts from the station itself, with the pick-up by bus (courtesy Dargah-e-Hakimi) to the Roza. 
One can also take a 'tanga'(horse cart) ride which is the typical mode of transport in the exotic, Indian villages.