Streaming Audio Player Question

How do I embed a streaming audio player like the one on this page:
https://www.2dopeboyz.com/2010/10/12/javonte-get-rich-quick-scheme-f-kendrick-lamar/

I know a lot of wordpress sites use this but I can’t figure it out. I’ve tried “upload/embed media” then entered a link to the audio file hosted on another site but that still doesn’t work. Anyone know what I’m doing wrong.