That evening, . . . . . . . . policeman knocked on my door.

When a noun's identity is not known, it's a non-specific noun, hence an indefinite article is used. Indefinite articles like 'a' or 'an' are used when the noun is not specific (indefinite). The noun 'policeman' is non-specific hence article 'a' is used because 'policeman' begins with consonant sound.