The Warehouse Key unlocks the back door of the S&B Co. repair shop on the way to the docks. After Joel and Tess drop through a hole in a fence toward the wharf, four of Robert's smugglers appear; whoever you take down last drops it.
The first two smugglers talk about Joel and Tess outside, which serves as the game's tutorial for stealth kills on human enemies. Two more wait inside the S&B Co. building. Once all four are down, the key is yours and the door through to Mission Hill Pier opens.
In Left Behind, Ellie finds a pharmacy key that looks exactly like this one.
Docks Note
The Docks Note is a gripe from one of Robert's smugglers, lying in the big warehouse at Mission Hill Pier where a fishing boat hangs over the loading bay. Look on the right side, against the railing behind a blue trash bin.
Shipping Manifest
The Shipping Manifest is a sailor's note at the Mission Hill Pier docks. After you vault the wall down among Robert's patrolling men, go right to the railing above the water; it lies by a fishing net behind a blue trash bin.
Boston Q.Z. Map
The Boston Q.Z. Map is the first artifact in the game and you cannot miss it: it is already inside Joel's backpack when you pick the bag up off a table in the smuggling tunnel during Beyond the Wall.
Drafting Notice
The Drafting Notice is a FEDRA work order lying in a heap of papers in the Boston slums. After the bus where Malick confronts Joel, walk straight on between a vendor's stall on the left and a canopy on the right; the notice is on the ground at the corner.