To use the new tool, you first need to go to a website with downloadable music(The only site that seems to work at the moment is http://freemusicarchive.org/, so Soundcloud or Spotify won't work) and select a song. Go to the song's page and select the URL of that page.
(You can get the song page by clicking on the song title)
Spoiler: Show More
(Image courtesy of Resi)
You can then paste the URL into the URL parameter in the new song object, and play the song from a trigger using the Play song 'A' action.
And last of all, don't forget to credit the song and the creator!