Audio and Video Example
The best way to see how this works is simply to go to the W3Schools Examples.
In their examples, you would have your own copy of the audio or video file
and embed it in the page using a relative URL (just like you did with graphics files).
W3Schools Audio
and
W3Schools Video
W3Schools also has a page on types of media files (.mp3, .mpeg, etc) in case you are curios about them.
It's also very easy to embed videos from other media-related sites into your page.
For example, video W3Schools shows how to embed a YouTube video in your page in an iFrame.