What to do?

I'm Russian citizen and want to apply for student visa to study in Shenzhen in Hong Kong. According to a new policy, i cant exchange tourist L in China, and have to do it not on mainland. As University office suggested, I have to go to Hong Kong and apply there for temporary student type one and after come back to university, register and pay the fees so after I will be able to extend it to a proper one. Is it possible? And if it is, can you advise me any address where to go in Hong Kong