Here's how to get it:
1. Play through the "City Escape" level as Knuckles. You'll need to reach the checkpoint where you have to climb the tall building.
2. Look for a small, hidden cave in the side of the building. It's easily missed, so keep your eyes peeled!
3. Enter the cave. Inside, you'll find the Mystic Melody waiting for you.
By collecting the Mystic Melody, you'll unlock Knuckles' "Chaos Emerald" power-up for the Hero Story. This will allow Knuckles to break through certain barriers and reach hidden areas in the game.