I am Indian Passport holder,Staying In hong kong last five year on employment visa

Hi, you cannot get the Shenzhen VOA.

what will be the process to get visit visa to Shenzhen, where should I apply in Hong Kong,
I have Hong Kong valid employment visa and HK ID

You should first prepare the relevant materials including passport and its photocopy, a completed application form, a passport-style photo, transportation and accommodation arrangement, as well as your employment permit in HK.
Next, submit the application to the office of the commissioner of the ministry of foreign affairs of PRC in HK.