Not really in a level, but the door he's referring to is a keypad-locked door to the far right side of the room you wake up in when you start the game. It's the one with the computer and wardrobe. I won't spoil what's on the other side of it, but I'll just say you're not really missing anything. To get the code (which is different for everyone, so only your code will work for your game) you have to unlock all other achievements.