Do we need to apply for any visa/ entry permit to enter Hong Kong and ShenZhen?

Hi, I am a Singaporean. I will be going to on a free-and-easy trip to Hong Kong from 12 june to 18 june 2010 together with my boyfriend (Malaysian, Singapore PR) and his parents (Malaysian-Kular Lumpur). His parents will be coming down from KL to take the flight together with us. We plan to go to Shenzhen and stay from 12/6 to 14/6 on the day we arrived Hong Kong, we would like to ask :

1) Do we/they need to apply for any visa/ entry permit to enter Hong Kong and ShenZhen?
2) Can we apply for the Visa over at Hong Kong on the day of arrival?
3) What are needed?

Thanks.