I've been reinforcing such 'investigation' with Ruby. When we hear a noise and she jumps up - she usually looks at me for direction, so I'll 'woof' or say 'what's that' and head in the direction of the noise with her in tow. She's usually raring to investigate.... I even flung the back door open the other day for an outside noise but we never found what it was. I now, tho, have an overly effective door bell/knock barker (which I also sort of encouraged) and I don't really mind it really especially when we are not home.
Ruby Underfoot, CGC