Li's character has a friend who is a karate instructor and he goes to his karate school to have a chat. The building where the school was is actually the Alhambra Building at the junction of Nathan Road and Kansu Street. In the first picture we are looking up Nathan Road and the white building in the background is the lower floors of the Kowloon Government Offices. You can also see the Gascoigne Road/West Kowloon Corridor flyover (the road which goes through the nearby Yaumatei carpark).
As you can see the part of the building used in the film is that most northerly bit, right next to the flyover. It looks as though the interior scenes were filmed on location because in the lower picture you can see the square character boards stuck on the outside of the building, as well as the flyover going past the window. It looks as though it might have been turned back into a private flat in the meantime and the front lattice work has all been filled in (actually, it looks like it may have once been a balcony that has since been enclosed - illegally - a common practice in HK to gain extra space).