The Police Cadet school seen in Infernal Affairs, where Shawn Yue and Edison Chen trained together, is actually the Lei Yue Mun Holiday Village. Used to be a barracks, now it is a "Holiday Camp," offering "Leisure Services for Local Residents." Interestingly, it also housed the Amoy Garden block E residents in isolation during the SARS outbreak, where they were observed for signs of the illness and kept away from the rest of the population. Perhaps, this is not a selling point, which is why this fact is omitted from the Leisure Services website about the camp. Booking information, if you want to spend the night, is at the site linked above, as is detailed transport instructions. MTR: Shau Kei Wan.