You can either apply for a visa to China through Chinese Visa Application Service Center in advance, or apply the visa on arrival at the Luohu border. The requirements are your passport, a passport photo and an application form,etc. But be aware that the Shenzhen visa you apply on arrival can only allow you to stay in Shenzhen (only) for 5 days. If you need long stay there, you are required to apply for a visa to mainland China in India before your departure.