Layman's definition of .mp3 & .m3u files ...

There are multiple file extensions used for audio files: .mp3, .mp4, .mpc, .msv, etc. This site uses only .mp3 files which arguably IMHO play best using Windows MediaPlay or VLC. Have never used ITunes which I understand is also excellent.

.mp3 files contain the name of the audio file for one song. For more than one song you need to create a 'playlist' which is done using a text-file (.m3u) containing the list of audio files you want to play.

In Windows 10 (and most other operating systems) a media player needs to download this .m3u file to whatever computer is going to actually play the audio. There is a directory (Downloads) containing all downloads you have made on your system, which periodically needs to be cleaned out. Once your audio 'playlist' has been created, you no longer need to create it again. Bringing up a "File Explorer" window will show you where 'Downloads' directory exists. Clicking on this directory name will list all downloaded files on the system. Find the one with the 'playlist' you want and your system will load that 'playlist' without having to get it again from the server.

Note, however, that the audio files in the 'playlist' probably will still be played from the server.