i will spend a day to Shenzhen from Hong Kong. Please advise where to go first and following to the attractions in SZ.

HK MTR is most convenient to go to SZ. By that, you will get to SZ Luohu Station, where take Luobao Subway line to Laojie Station and then walk to Dongmen Pedestrian for shopping. Then you are suggested to visit Window of the World, Happy Valley and China Folk Culture Village. If you have enough time, I suggest you should visit OCT East (Overseas Chinese Town) as well.