Immigration Tower,
7 Gloucester Road,
Wan Chai,
Hong Kong.
you need to go to the 5th floor (there is a sign board to identify which floor - just in case it has changed)
Allow half a day, I'd take a good book.
Worth checking the web-site mentioned above, you might be able to book appointment.
You need to get a ticket from the counter first, and then wait for your number to be called.
And don't forget to take the originals, eg contract, certificates, degrees, etc.
Contrary to PDLM view, most companies provide the paper and the applicant needs to do the legwork and apply in person.