There is no direct way from HK airport to Shenzhen. You can take the airport express shuttle bus to Kowloon railway station first. Then take the express train to Shenzhen.

Mr Wesley is mistaken. As long as you don't clear customs you can take a ferry direct from the airport to Shekou Port in Shenzhen. the service is called Skypier. You need to check websites for times -I think the earliest is 7;30 in the morning. I used this service often when i lived in Shekou. You can also get "cross border limousines" which are high quality mini-buses that run from the airport to either Hunaggang or LuoHu checkpoints. I haven't been there for over a year now so they may even go to Shenzhen Bay checkpoint now.