An embedded playlist places the URL to media files directly into the HTML code that is used to render the player on a page.
This option does not require any kind of special server-side functionality and is ideal for folks who's playlist will not change very often and only want to place a couple files into the player.
To use this option, use the Customizer Tool and click on the "Media" tab to open it. From the drop-down selector, choose "Embedded".
Enter the URL to each file you wish to include on a separate line within the field.