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In the context of "How deep\ly should I study something."

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In that context, it's deeply.

Deep is an adjective, so can only be used to describe the quality of a noun:

How deep is the water?

Deeply is an adverb, so can only be used to modify a verb:

Were you thinking deeply?

Deep is often used instead of deeply, to the extent that it is largely accepted without comment. However, I've never heard it the other way around. "What a deeply question" is just plain wrong.

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Though you are right in your description of plain deep often being used as an adverb, I just want to emphasize for non-native speakers that this is definitely seen as informal, so make sure to avoid this in a formal situation. – Kosmonaut Nov 19 '10 at 14:09
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It's not just deep/deeply where the adjectival form (no -ly) is sometimes also used as an adverb. This happens with some frequency in English--part of a much larger trend of simplifying inflected forms. As Kosmonaut notes, this is an informal usage (but check back in another 100 years!) – res Nov 19 '10 at 15:13

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