The on-the-spot visas were pulled in response to fingerprinting and photos by the US post 9-11.
The Embassy in Washington has some rush service, but even then I think it is a full 24 hours. They are also strict on where you live re: where you apply. Some people have to apply in Chicago, some in NY, etc.
Maybe this is a dumb question, but why do you want to go to Shenzhen? Your friends are in Hong Kong for less than 72 hours, and the cost of the visas and the train will negate any savings on any shopping, if that is why you are going.