From Google Earth, seems like u need to goto Canton suburb first before making a far South turn to Shenzhen...It's damn far!! a rough distance of >200km from Macau i.e (120km toCanton & another 100km from Canton to shenzhen!!)
If time is not a constraint probably can break the travelling to 1 day towards Guanzhou, 2nd day to Shenzhen & 3rd day take the Guanzhou -HK MTR train to HK Kowloon tong station, & 4th day back to Macau on the super dupper expensive ferry!!

This route will take approx 6days 5N!! Haizzz..regret oledi!! I should hv bought 6 days to Macau instead of 4 days!!
The most I can go is up to Zhuhai (Day 1), Canton (Day2) , Back to Zhuhai/Macau (Day 3 & no way can I go Hong Kong!!

.. I'm staying at Zhuhai & decided to forfeit last day stay at Zhuhai for fear of missing my flight bck if stay at Zhuhai
Added on July 24, 2008, 4:53 pmOpss after detail checking on Google Earth again...I did noticed couple of huge bridges linking Zhuhai short of going thru Canton, & thus, after measuring the path to Window of the world from Zhuhai , its only about 170km from Zhuhai/Macau
like me i link macau-zhuhai-canton for jan trip and HK-shenzhen for the next trip