I suggest you go to UOB Kay Hian Securities Thailand PCL. They're located in the Sindhorn Tower Building - Office / Office 130-132 Wireless Road, Lumpini Subdistrict , Pathum Wan District, Bangkok. I think that's across the street from the US Embassy.
UOB Kay Hian Securities (Thailand) Public Company Limited operates a securities business. The Company is licensed to conduct securities brokerage, securities trading, investment advisory, and securities underwriting in many stock exchanges worldwide. UOB Kay is also licensed to provide financial advisory and unit trusts agency.
I wish I'd known about them in 1998, but didn't until 2010. It's very easy to set up an account.