I've seen one on Queen's Road West in Sai Ying Pun (Western district of HK Island). It's called Chi Tat Gym. It's upstairs in a residential building. There's no number on the sign for it, and when I tried to buzz them, they didn't open the door for me.
I've also seen one near Mongkok, but I don't remember the name or location.
Good luck my Dutch friend! I hope you find a hardcore gym. If you just want to lift weights, they're as heavy at Fitness First as they are at the underground gyms, just without the grime and steroids

Well, steroid use is pretty common in HK, but you know what I mean.