Hong Kong is a great place to learn the art of sailing!
Introductory courses for small boats (Dinghy) take 5 days, and you will obtain the Hong Kong Sailing Federation (HKSF) licence Level 1 & 2 at the end of it. It allows you to hire boats from government facilities in Hong Kong.
The HKSF website has a list of Recognized Teaching Centres in HK, and also other useful info on the scheme: http://www.sailing.org.hk/recognized-teaching-centres.aspx
The course costs around 3000-4000 HKD, depending on which club you go with. I have heard that the government also offers cheaper sailing courses to HK citizens.
If your interest lies with bigger boats, here is a good place to do it: http://www.yachtingventures.com/