I am Belgian can I get the 5 day Visa for Shenzhen ?

Yes, you can. The most convenient border crossing where a Shenzhen VOA office is located is Lo Wu / Luohu. The price for a visa for Belgian citizen is 168 CNY and it is advisable to bring that amount in Chinese cash that you can easily obtain at one of many Hong Kong money changers. One advise more... You should not emphasize that you will travel to Shenzhen for business purposes. You can just state that you go there for tourist purposes and you will, while in Shenzhen, just proceed with your initial intention.