In short, you take the MTR to CENTRAL station, BUT leave the station using the exit A. Take the Central Elevated Walkway (Chinese: 中區行人天橋). And turn right at the waypoint after Jardine House (about 3rd or 4th). Below is the diagram to illustrate (source:wikipedia). That’s all!
I learn it the hard way myself and therefore have to make this post to remind myself in future, in case HK Post sends me another registered mail that mandates me to collect in person. Bet a lot of people have similar “remarkable” experience and hence I’d save my 1,000-word rants.