The Docks plays in E1M1: The Docks (pictured) but in the registered version of the game, it repeats in E3M1: The Store. If you have Shadow of the Serpent Riders version of the game (an expansion pack) the song will also play in E4M6: Halls of the Apostate aside from the aforementioned levels.
Depending on the hardware options in setup.exe, either a MIDI or an AdLib version will be played. MIDI offers a higher music quality.
The internal name ("lump") within HERETIC.WAD file of the song is MUS_E1M1.
Hexen II (W32)
The Docks was later rearranged for Hexen II (W32) to fit the Egyptian theme of the third hub (as sample, guitar "lead" has been replaced with piano notes).
Both the CD and MIDI version of the song comprise the soundtrack. Depending on the configuration the players choose in options menu, the game may try to play the song from the inserted CD or play the MIDI one.
The CD version of the track is the number six on the disc. The file of the MIDI track is contained in MIDI folder of pak1.pak file and has the name egyp1.mid.