An old movie from Hong Kong.
The song you are talking about is Yuan Fengying's Youth Without Regret, not the one in Infernal Affairs.
The song in Infernal Affairs is Cai Qin's Forgotten Time.
The story tells the love tragedy of the underworld youth Huadong (Andy Lau) and the rich woman Jojo (Jacklyn Wu). Hua Di is the illegitimate child of a dancer. His mother committed suicide by jumping off a building for love and left him to be raised by a group of dancers. Therefore, Vantage grew up in the underworld, but he was affectionate and righteous to his big brother and friends. One day, Vantage went to help another gang leader (Huang Guangliang) rob his eldest brother, and kidnapped Jojo in the chaos. After successfully escaping, Huang Guangliang and others tried to kill Jojo to gag him, and Vantage assured Jojo with his life that he would not betray them. Later, he took Jojo away with a motorcycle and burned the runaway car. The police found Jojo according to the handbag she left at the scene and asked her to identify a person. Jojo didn't give up on them. However, the police reported that Hua Di was also involved, but there was no evidence. Huang Guangliang and his gang also suspected that Jojo would call the police, so Vantage offended Black and White. In contact again and again, Hua Di and Jojo gradually fell in love and got along well. However, Jojo's parents returned to Hong Kong from abroad, but after learning about it, they tried every means to obstruct and sent Jojo to study abroad. In order to avoid Jojo, Hua Di went to Grandpa's office in Macau, and Jojo also chased him to Macau, where they spent the happiest and carefree days in their lives. However, the good times did not last long. Jojo's mother sued Huadi for kidnapping the girl, and Huadi had to go back to Hong Kong with Jojo. At this time, the struggle between Huang Guangliang and Brother Vantage intensified. Huang Guangliang was going to get rid of them, so he gave a banquet. Vantage's eldest brother gave his life to protect Vantage, but he died tragically. Hua Di was determined to avenge his eldest brother and went to find Jojo before he left. Jojo was taken to the airport by her mother that night. Under the cover of the nanny, Jojo and Hua Dee ran away together. They smashed the window of a bridal shop, put on wedding dresses and gowns, and went to church. While Jojo was kneeling and praying, Huadi flew to Huang Guangliang for revenge. Jojo heard the motor sound, picked up the wedding dress and chased it all the way. Vantage died with Huang Guangliang.