I thought about this for quite a while, debating whether I should joined the party in Shanghai. Finanlly I decided to pull the trigger. I went to China Merchant Bank (招商银行), and opened my stock trading account there (the securities department of CMB). The procedure is very much like that in US. I filled out a bunch of forms, including the acknowledgment of risk, showed my IDs, paid 90 Yuan for the card. I am still waiting for the final approval before I can buy stocks.
(Update 14Mar 4PM Shanghai time) I heard from my broker that I already have securities account (I bought and sold stocks in Shanghai in 1995/97). Because I could not find the old account No. I need to go to 中登公司 to get it straight.