a) When you hear march music, follow to its source - a military parade engaging in a march or changing of the guard ceremony.
b) Follow them until they stop moving. Eventually, the music ends and they disperse or are dismissed.
c) Go to the nearest supermarket and buy candy.
d) Then head in the direction the parade was last moving before it ended.
You _will_ end up where you wanted to be.
Spooky, but it works.