Missed Approach Procedures begin at the Missed Approach Point (MAPT). "Track 120" etc means a ground track (ie DR corrected for wind) of 120, from the MAPT. If the procedure requires a track to intercept an aid radial, it will say "turn left track 040 to intercept the 120 VOR radial", or "turn left and track 040 ref the VOR or NDB"
If you have totally cocked the approach, before the MAPT, then you climb while still tracking to the MAPT, before commencing the missed app procedure. If you are doing a missed app because you have lost azimuth (ie the aid has shagged it) then you climb on track (DR) to the MAPT and do the missed app.