In the dream at the beginning of the game, when you have beat up the man for the security card, go through the door and break the mans neck who is singing to himself.
Hide the body and then carry on down the path. There will be a big pile of boxes to your left, go down the right hand side of the boxes and crouch down. There should be a gap in the boxes, navigate your way through and drop down the hole at the end. Follow the path and you will see some cigarettes pick them up and there you have it.