Well, pretty much whatchya gotta do first is upload your media file to a host site that accommodates media files and allows them to be linked directly from other sites. You're prolly lookin' at settin' up a personal website which will cost you a few bucks a month or so, dependin' on how fancy you wanna get. There may be some free ones that'd work, but I don't know any off hand. That just means I don't know any.
HERE'S a Web-Media Primer you might find helpful.
Once you've got a suitable site, you upload the file from your machine to that site. The file itself will have its own URL ... that's what you'll use to link to the file from here.