Can you help me with some instructions how do I get transferred from Hong Kong to Shenzhen?

Where are you staying at HK? Do you prefer to travel by bus or rail?
Anyway, at Hung Hom Station, you can take East Rail Line to Lo Wu, where you can easily cross the immigration border to Luo Hu, Shenzhen. Then you can take other transport to your destination.

By bus, you can take the corss-border coaches at Kowloon, Mong Kok or many other places to SZ directly.