On any stage on mission 3 I read in my manual that you have to have Mystic..

You have to get Mystic Melody for all of the individual characters!

It is like a flute that you play at these certain locations with a miniature building. By playing the whistle, special things appear like possibly platforms to jump across or for Sonic/Shadow a set of rings to Light Dash across.

Sonic:
Go to Final Rush and make it past the sixth checkpoint. Right after it, there will be a long rail. Go on it, but once you see the two platforms on the left, jump off, onto them. Take the rocket there to another platform. The camera will switch to show a double platform with a spring. Jump over there and take the spring. Go down this platform to another one ahead. Now, the camera will change to face an incline. Go up it and you will see the Mystic Melody up ahead.

Tails:
In the Hidden Base Level, but you need the Bazooka for this one, too. When you go up the first pulley that takes you to a bunch of Kikis, go a bit into the next area. There will be two paths to take from here. The one to the right, which leads up and the lower one, blocked by four crates. Blow them up with your Bazooka and go into the enclosed room. The Mystic Melody is dead ahead.

Knuckles:
You'll need the Hammer Gloves to get this one. Go to Wild Canyon and go straight ahead, up the wind tunnel. From here, turn 90 degrees left and go forward into this passageway. Continue forward, until you reach the dead end with the statue. Climb up above the statue, until you reach a strange carving. Dig into this carving's center and you'll come out in a small, enclosed room where you'll find the Mystic Melody.

Shadow:
If you want it, get over to Final Chase. A bit after the third checkpoint, there's going to be many Gravity Tubes. Count them until you get to the fifth one. From here, there's going to be another Tube to your right, separated in the middle by an Electrical Fence. You normally go the bottom way, but this time; make a really high jump so that you land on the top section. Now, just go up the Tube to get to a spring, which will take you to a platform where you'll see the Ancient Light up ahead. Just go there and claim your prize.

Eggman:
Hey, both Tails' and Dr. Eggman's Mystic Melodies are in their only dessert levels... Another strange coincidence?!?... Anyway, this one's really, really easy, but you'll need the Hovering tool, the Jet Engine if you want to reach the platform where it is. At the very beginning, go onto the little spinning platform, but make sure to stay on one of the long thing's edges. When the long thing you're on gets to the very left, jump up really high and start Hovering towards your left. I know that the camera angle sucks, but that's for it to be hidden from normal view. Anyway, a second after you make your way there, you'll see where you're going, because the camera will move to show you. There's going to be a platform ahead, so try to land there. It shouldn't be hard at all, though. Once you land there, just make a few hops, up to the Mystic Melody.

Rouge:
The Pink Nails are a MUST to get this Upgrade. So, go get them first before you complain about not being able to dig :P. Go back to Rouge's first stage, Dry Lagoon. From where you start off, turn the camera 45 degrees right. See the wall up ahead? Glide over towards the little platform carved in the wall and climb up to the painting in the center of it. Now, move onto the little shield-type thing near the bottom and dig into it. You'll go into the wall and emerge on the other side. I don't really have to tell you how to get to the Mystic Melody from here, because it's right in front of you...