which bus should i take from HK to shenzhen? my flight will arrive HK at 06.25 AM

Frequent buses are operated from HKIA to almost every district of the Shenzhen. You can find the bus station near the airport and you can easily find them by following the direction boards. Upon reaching the station, you can tell the staff about where you plan to go and ask them to help you to find a suitable bus for you.