The small lane that Gong Li walks along as she is out searching for Irons is located in Wanchai. It's the southern end of Tai Wong Street West where it pops out onto Queen's Road East. It's not a difficult one to find given the angle of Central Plaza in the background.
The current Streetview image is below. It hasn't really changed much, in fact it's probably the very same newspaper hawker stand at the end.