...Seems a lot of the threads about things like this quickly become arguments about the 'best way' to go to X or if you should even go do the Colonia run or not and not really much info to help us poor noobs do simple stuff like find the boat and buy a ticket...
Everything you need to know about finding the boat and getting a ticket: Buquebus in Puerto Madero. I don't know if you'll be able to use a foreign credit/debit card to buy tickets online (kind of doubt it) but you can visit and buy tickets. I know where it is, in fact I used to live about 6 blocks from there on the other side of Libertador/Alem, but if you don't know how to get there, that's not much help. Just hop in a cab and say "Buquebus (boo-k-boos) en Puerto Madero por favor" (but don't forget to say "buen dia" or "buena tarde" first so you don't get the cabbie irritated with you - have some manners foreigner! ) and the cab will deliver you right to the front gates. Inside is like a terminal and you can buy tickets there. Take the fastest boat and get expensive seats, in my opinion. They have numerous boats leaving and returning every day. If you time it right, you can leave early and come back late. An hour's journey and you're in Uruguay. Another 10-14 minutes walking and you're in the center of Colonia.
Once you're there: https://www.google.c...805b8023fcf8708
Look at the south side of the coast, to the east of of the peninsula and you can see "Puerto Buquebus" right at the end of Avendia Franklin D Roosevelt, which road will bring you right into the heart of Colonia. A little Googling (see next paragraph) for banks and you should be able to figure out where to go, at least at first.
I don't know if you'll find a PO Box like we think of the concept here. Probably have something, I'd think most likely at a bank. Or you could create a corporation and pay an accountant (accountants do that sort of thing there) for a mailing address but the latter is pretty expensive, I'd imagine, at least to set up the corporation (kind of a tongue-in-cheek suggestion, although I've been looking into it for reasons beyond a mailing address). I found a list of banks online with a searcfh: "bancos sucursales colonia uruguay" and most of them have "cajas de seguridad" which are safe deposit boxes but not what you're looking for. A search for "cajas postales" didn't turn up anything, but likely I just don't know the Spanish word or phrase for PO Box. Almost seems like I've seen something like that around Florida and/or Lavalle here, so maybe there is some hope and they aren't at banks.
Whatever you find, I doubt it's going to be cheap. The average citizen here or in Uruguay, I think, doesn't look for PO Boxes. Not much need for it in their lives. Not much competition, wealthier people may have a need for something like that, maybe not real cheap. Or, the rich use their accountants to set up things for them. I also would be surprised if a foreigner can just pop in and open one up, but I could be wrong.
I remember when I was a "noob" and thought I had to make a visa run every three months; I sure wish someone had been around at that point to tell us it was foolish and a waste of time to do so. At that time it was "common knowledge" that you had to do it. It took something like three years for me before I figured it out through my immigration attorney, but I already had my Precaria so it was too late for me to benefit from it. I started realizing that maybe I ought to seek out and listen to those who know something about living here.
I've found that there are a lot of things that one would like to make better here with some simple concepts. I'd love to be able to get maple syrup and chili powder and Ziplock bags by the hundreds, and shirts and shorts and...(well, stop it Cheese) down any time I want, but the truth is after a while I've made contacts with various people whom I know personally and who will bring things down for me when they come. I plan ahead and usually can maintain a stock of critical items in that fashion, rather than worry about going out of the country to get things shipped to me, paying for the address in that other country, paying for a boat ride (which is OK a couple of times, but Colonia, at least to me, wasn't much good for 3-4 trips as a special destination and became rather boring after awhile), spending the time to go there and back, etc. I suppose it would be different if there were a real need to go over there fairly often, but there isn't for most people.
I find that the best thing is to learn to live the best you can with what you have and can find right here, for the most part.
I've never heard of anyone doing what you're trying to do (least-wise, it didn't stick in my mind if I have), and if it works out more power to you. But my advice is to figure out how to get along without having things sent to you until you can figure out how to either receive packages here (not impossible, a couple of threads talk about it, and yes, there is some risk - but so there is as well in having an address in Colonia and crossing the border to get packages, etc.) and/or find people up there to bring things down to you when they come.
Take it from me - I can't believe it will all turn out to have been easy, even if you happen to go over there, find a PO Box place right off the bat, get a number rented and make it back all in one day. Over time it will complicate your life (in ways I can't even see right now), to questionable benefit.
But good luck to you.