There are several ways, it all depends on your time frame, target and budget. You can learn here in Hong Kong, the Philippines, Malaysia and Thailand.
Several HK based people obtained their first PPL licence in Thailand or Philippines, but this does not allow you to fly in HK. Mind you, it is not easier than anywhere else and it takes actually more time because of local requirements and travel. But it is great fun.
The Hong Kong Aviation Club is good, but the local restrictions, availability and costs were an issue for me; besides as I fly in Europe as well it was more logical to get first a JAR PPL(A) [training and exams last year at EFT in Florida]. Shortly after that I went through the exams+admin to get a Thai PPL [with Nok Aviation] as I prefer cross-country flights which is kind of difficult here in Hong Kong. PM me if you want to have more information.