The Siege Golem is a type of War Golem buildable at the Murloc Hut. It is seen in the third level of the Blizzard-made campaign Exodus of the Horde that comes with the Frozen Throne expansion pack. It is also seen in the fifth level of the demo in which it is part of the Underworld Minions.
They are commonly found in Cityscape maps, but in World Editor, they are placed under Dungeon and Underground categories. In Warcraft III: The Frozen Throne, a Siege Golem appears to fight alongside two Granite Golems in Theramore. And two unique silver Siege Golems are found in the Magistrates Temple in the upper left corner of the map. Both Golems are possibly the highest level unit in the game at level 12. The standard color for this Golem, is a bright-ish red almost dominating the armor.
Note: The fact that murlocs are able to construct Golems tells much about their, supposedly, low intelligence. Not many races are capable of creating living constructs, and it would be interesting to know where the murlocs exactly learned this technology.