China Travel Forum

I am arriving at hongkong airport in the evening and i have to leave to shenzhen immediately.

That's easy. There are ferry service from Hongkong to Shenzhen Shekou directly, you don't need to pass Hongkong Customs at all. For detail you can check this website:
http://www.hongkongairport.com/eng/aguide/skypier.html
The ferry is to Shekou, if you need to go to Shenzhen downtown, there is bus K204 at the ferry and it takes you to downtown. You can find more details at my Shenzhen page.

The direct ferry service from HK airport is great if you do not have check-in luggage, otherwise they will put you on later ferry so they have time to go find your check-in luggages. Plus it actually goes to Shekou and you need to take the A204 bus all the way back to Shenzhen, again not great if you have a lot of luggages (or taxi for around 80 RMB).

Alternate way is to take bus direct from HK airport to Shenzhen, go to the A10 counter when you exit Customs to find your bus. They also have mini-vans for slightly higher cost.