You can get to Shenzhen from Hung Hum Railway Station in Kowloon. Ot you can take buses to the city via Huanggang and Luohu Border. Or you can also take ferry from Hong Kong-Macau Terminal Station to Shenzhen. Generally, You need a visa. You can apply for it in advance to Hong Kong immigration department or entrust a reliable travel agency just to handle a visa for you.