Arduinos don't have a dedicated audio port, like you might find it on your laptop or smartphone. For it to play sound, you need external components, like an audio shield and of course a speaker or headphones.
<aside> ⚠️ Arduinos are not the best at playing sounds, especially high quality audio.
Look at the 'Alternative' section to see if there is a more suitable approach for your needs.
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Using only Arduino parts:
How to Make an Audio Player With Speaker Using the Arduino Uno | Arduino
Using Grove:
Arduinos are not the best at handling complex tasks, which includes playing audio. A valid approach is also to play the sound through a computer using MAX | MSP or Processing and only using the Arduino as a control device only.