The Wesley's Mysterious File(2002)

Overview:

Andy Lau is Wesley, investigating alien existence on this earth. He works outside of the MIB-influenced FBI operation, run by Shu Qi and Roy Cheung. They're hot on the trail of the Blue-Blooded Alien (Rosamund Kwan). Two other aliens, the "Warlock Toxin Group," are gunning for her as well -- red maggoty swarming creatures that form into Mark Cheng and Almen Wong.