how to get a bus from Shenyang to Dalian ?where is the bus station?

You can take direct long-distance bus at SY Express Coach Station. It's located near the Huigong Square (No.120, Huigong Street).
The bus schedule are 08:10, 08:40, 10:10, 11:10, 11:40, 13:15, 13:50, 15:10, 15:40 and 17:20. The ticket fare is CNY 101 per person.

BTW, there are also trains traveling between the two cities. You can search the schedule on this website.