Unlocking the song requires several steps. You have to find a saw, wrench, and bone saw and hold "X" while in front of them. This video from NoahJ456 (via Kotaku) shows the exact locations for each item:
As long as your teammates don't mind you putzing around while they fight off zombies, it should be easy enough to find these items. Once you've interacted with all three objects in any order, the music will begin. The song is "Ride of the Valkyries" by Richard Wagner. You've probably heard it (perhaps in Apocalypse Now) before even if you don't know the name. The music starts about 0:59 into the above video.
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