Tai Wong Temple is at the end of Stanley Main Street -- it is just tiny altar inside a small building so you can't see much but it is nicely kept though very smoky with all the joss sticks that are being burnt on the altar 

To find it walk out of the end of the market and go along the main street with the sea on your left, at the end where it opens up to form the open space and promenade in front of Murray building you'll find it tucked away on your right.