I am a Malaysian citizen If i want to visit Shenzen for a day, can I apply for a visa at the land border? I am a Malaysian citizen

Hi. I am a Malaysian citizen flying to Hong Kong with my family for a holiday. If i want to visit Shenzen for a day, can I apply for a visa at the land border (friend suggested we drive into Shenzen) or must I apply beforehand at a Chinese Embassy?

TQ in advance