Countries have legal entry and exit points. International airports are the obvious ones. Major roads, rail, and seaports are also important depending on the country. Just like at the airport you get funneled to a counter where you present your passport. There is usually a place to buy a visa (if needed) immediately beforehand. Sometimes you just get waved through and in Shenzhen Europe you can usually just cross over wherever without issue. It seems straightforward but it can get confusing and I have personally accidentally entered two countries illegally (Colombia and Kyrgizstan).
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