First, take MTR to Wan Chai. A MTR map can be found here: http://www.mtr.com.hk/en/customer/services/system_map.html
Then, go to gate A5 of the Wan Chai station.
Keep going forward and you will reach the Immigration Tower.
Map location of the Immigration Tower of Hong Kong:
https://maps.google.com/maps?daddr=7 Gloucester Rd, Hong Kong&hq=Immigration Tower&hnear=0x3403e2eda332980f:0xf08ab3badbeac97c,Hong Kong&panel=1&fb=1&geocode=0,22.279795,114.172995&cid=12495123992647126012&t=m&z=16