Can I get VOA to Shenzhen or I need to apply for a visa from HongKong?

Hi guys, i'm indonesian. Me and my family will go to hongkong in august 2011,and then we wanna go to SHENZHEN for about 3-5 days. Many forum said different argue. Can we get VOA to Shenzhen from Hongkong?where?and how long does it take?Since we've already have tickets to HK. Thank you