Play sounds on loading screen without YouTube

So, I’ve seen a lot of severs play music on their loading screen but the only thing is once I go into my sound folder I find the mp3’s of what the loading screen is. I have the wav on mp3 and everyone is getting it but I’m curious of how you would play music on the starting screen WITHOUT youtube.

You’d have an mp3 on a website and in the loading screenm,'s HTML, link to that mp3 and make it play.

Yeah but I’d like it to be downloaded to my clients and they run it off their own PC instead of loading it eachtime.