The audio files
Technically, this is the most difficult part, since audio comes in several formats. The older generations will remember the .wav files, whilst the new generations will play 'mp's'.
1. Warning: no copycats
Before proceeding, know that all media are submitted to copyrights and laws. Meaning no copycats. Ok? In doing so, you will only harm yourself. Know also there are free sources and they always mention that.
Kindly read here to enhance your understanding: https://en.m.wikipedia.org/wiki/Copyright_infringement
So, it is important to add an audio disclaimer page to your website too. Especially if you use your own materials or work a lot with playlists or radiostations.
2. Use media in Wordpress.
The most simple method is to use media in your Wordpress editor.
This DIY video's will show you the way:
The media manager : https://youtu.be/BJPpWIWBZD0
3. Players and streamers
When it comes to audio you have players and streamers. Let us stick to the simple ok. We only want to add some audio.
Let us start with players.
There are several methods. One of them being adding a plugin. In this case an audio plugin. For the full proces, this video is excellent: https://youtu.be/hXVY_V2bO4w
And now the Streamers
This requires a strong theme, a strong host and a strong plugin. Not really for newbees.
However, if you are interested, this is a great apetizer. How to stream radiostations: https://youtu.be/7SU7luACCec
4. General tip
This is for the embedded codes in general: https://codex.wordpress.org/Embeds
Again nothing to worry about.
Please read the rules about blogging and training at WA, especially #5 and #9. Spam is a NO NO!