This summer i just spawned me some zebra danios, so i thought i would help.
1. How deep should I have my water?
 at the spawning event my tank water was 4 inches above the substrate.  After this i added an inch of new water each day until the 4th day
2. What should I feed the fry? Newly hatched brine shrimp? 
on the 4th day i saw a few hatched fry.  Ideally i would have fed them liquifry or something to that effect (infusorians. i didnt have anythign like this nor did the LFS so i bought something called baby bites which were really small fish food pellets for live bearer fry.  It worked out though.  after about a week or so after them free swimming about i fed them BBS. I continued to feed them that for a long while.  probably longer than i should have
  
3. When to start feeding them?
i guess i answered this in number 2
With any other questions i would first consult 
This Sticky.  It may also be helpful to see 
This Video which i viewed and really helped me