do i need "visa" to pass from Hongkong to Shenzhen border?

I need a urgent answer about visa... i will go to Shenzhen via Hongkong on 24/12/2011 till 28/12/2011 and then go back to hongkong till 30/12/2011. Here, my question and my cofusion is, do i need "visa" to pass from Hongkong to Shenzhen border? Some of my friend said, i have too.....Your help is highly appreciate.