I am going in HongKong from shenzhen. From Shenzhen bullet train station how will i go to Border?

You must refer to Shenzhen North Station, right? Well, subway is highly recommended to travel. From the rail station metro station, you can take Longhua line and get off at Futian Checkpoint. There you can easily go through the immigration to walk to Lok Ma Chau border, HK. Afterwards, take HK East Rail MTR line to Hung Hom, where transfer to East Rail line and get off at East Tsim Sha Tsui. After getting out, you can walk north for around 450yd to your hotel.

And generally, it takes 20-30min to cross the border.