Around the rest of the world when you collect a Money Gram/Western Union payment, it is possible to go to shops and do this. As far as I can see in Zhuhai this is not possible, you will have to go to one of the many state banks such as; The Bank of China, The Postal Savings Bank of China, The China Construction Bank and The Agricultural Bank of China- there are many more.
If you cannot speak Chinese then go to the biggest bank you can find, and they should have an English speaker. When you get to the bank you will have to fill out a document called International Money Transfer Receive Form:
After you do this, if you are lucky you will get your money, if not so lucky you will be carted to other banks until someone knows what to do with you.
It is a very drawn out process, so if do not plan to do too much for the rest day- it took me two attempts to get my money, 2 hours on one day where at the end of filling out all of my application twice, they told me it was too late, and the second attempt where I was taken around to banks like I was on a bank tour of Zhuhai.
My best advice for you is to attend early afternoon and take as much information as you can possibly get.