While you're at the door, you should knock on the door. The second is correct because your hand will physically be on the door - similar to how you're likely typing sitting on your computer chair - not at your computer chair. However, you're still at your computer physically. Hope that makes sense/clears things up. I know prepositions are difficult for people first learning English.

I wonder of the confusion comes from "knock" being both a noun and a verb. I decided to knock on the door. My friend heard a knock at the door. Well, that's a start at least. It's possible to say "to knock at the door" but it's slightly different in my mind, ie. you're not necessarily rapping your knuckles on the door. For your sentence, try "you can find more information (by) knocking on the dressing-room door". I'm not sure what you mean by this, but treat "dressing-room door" as a compound noun. No possessive. The hyphen is just a suggestion.