A CDN is a content delivery network, you can upload to Shopify's CDN by going to Settings > Files
After uploading, it will provide you with a link for the source of the file which you can copy and paste to wherever you need it.
It should work anyway, I believe there is a 20 MB limit though. Not sure if your file exceeds that. I doubt it, but it's possible. Shouldn't have any issues uploading an MP3