I got an unlocked Iphone 4 Hong Kong version MC603ZP,
I was told that I can update directly from itunes and get the latest firmware without problem.

Is this true?

If you want to preserve your current baseband for jailbraking purposes or something like that, you should find out if updated firmware can be jailbraken and how but other than that you should be fine. But maybe someone else could verify this?

-deso

factory unlocked iphone will always remain unlocked after a modem/baseband upgrade.
firmware upgrade contains 2 parts in one: OS firmware and Baseband/modem firmware.

OS firmware upgrade will surely stop the current jailbreak method (apply to all iphones regardless of factory unlocked or not)
BAseband upgrade will surely stop the current unlock method (does not apply to factory unlocked iphone)

in my mc603zp i m unable to go on other widgets plz help me out and send me reply on my mail id as soon as possoible

Sorry dude, I don't understand what you want to ask?