Although Chopin wrote many works for piano, he only composed 3 Piano Sonatas. His 2nd Piano Concerto is in 4 movements and it incorporates this funeral march (which he had written previously) as its 3rd movement. The Funeral March on his own is quite famous and has been used during funeral services in general and indeed in many state funerals, including Chopin's own. The movement starts and ends with the main funeral march and has a more lyrical middle section which may be ommitted during funeral services. This is the original piano version of the work but it has often been played in various arrangements for orchestras and bands. Although this is perhaps the most famous funeral march of all, many other funeral marches (or other forms of Funeral Music) have been commissioned or composed by classical composers.
You can see Chopin's Funeral March below, or you can download the Sheet Music in PDF format, or download the MIDI and MP3 files using the links in the left-hand menu. The complete Piano Sonata Op.35 (in 4 movements) can be found at Sheet Music Plus (US) or at The Music Room (UK).