Trying to find out where the noise is coming from is a good idea.
I have a friend who did this by using a piece of garden hose. He held one end to his ear while putting it around doors and window areas while someone drove the car for him.
Additionally, it could be that your door striker plates could use an adjustment so they close tighter against the doorframe. It is actually not too hard to do. You'll need a hex socket that fits into the striker plate. Word to the wise, make sure it is a new socket (actually the hex end) and be sure it is FULLY seated into the hex head bolts. Just a little adjustment goes a real long way.
Another tip, this one from a refrigerator repairman: Put a dollar into the door jam and close the door on it. If you can easily slide the bill out it needs to be adjusted.
'03 E320 Wagon-Sold
'95 E320 Wagon-Went to Ex
'93 190E 2.6-Wrecked
'91 300E-Went to Ex
'65 911 Coupe (#302580)