If you bailed season three, you would actually have seen the ep in which it played. It was used during Scully's abduction arc (which is my fav story line in XF's admittedly convoluted mythology). It's the song that plays when Duane Barry, the delusional, supposed abduction victim kidnaps Scully, with Mulder hot on Barry's trail. If I recall (and I'm doing this entirely from memory), it's playing on the radio when Barry is pulled over by a trooper for driving erratically. He sadly kills the trooper after murmuring, "Please don't stop, Duane Barry." Steve Railsback played Barry, and he was creepy as hell while being at the same time oddly sympathetic.