It varies, but usually you can play them directly from a "thumb drive", which is an inexpensive memory device you plug into a USB port.
https://www.amazon.com/SanDisk-32GB...umb+drive&qid=1563971606&s=electronics&sr=1-9
The aftermarket unit I have will also accept a "microSD" card, which is a similar concept, but the card is only about the size (and thickness) of my thumbnail and fits entirely within a small slot in the unit.
https://www.amazon.com/SanDisk-Ultr...&pf_rd_p=c65e95de-7673-54a7-9bfe-1c8b6820a712
Both are available in various sizes, big enough to hold an incredible amount of music (or whatever). I'm fond of listening to audio books on long trips, 32 Gb will hold about 100 books (at 8 to 10 hours each)
Music doesn't compress as well as audio books, but 32Gb will still hold roughly 200 hours of music. (All of Spinal Tappets' "Tappetstry" fits in 41 Mb.)
I forget offhand how big the internal storage is, might be only 16Gb
But I also (in theory) have the option of copying audio files from a thumb drive or microSD to the internal storage. That would save having the thumb drive hanging out of the port all the time.
Yet another option, if you have a "smart phone", is for the car to play audio directly from your smart phone, via bluetooth. I rented a 2017 Toyota where that worked particularly slick, the book would pause whenever there was something else going on (like voice instructions from the mapping software or a phone call) or when the car was shut off. Then automatically resume from a few seconds before it left off, when the car was restarted or the interruption ended.
I didn't really get a chance to try out all the functions it had; but it seemed to have really impressive integration with my phone. The car provided all the hands-free functions (required by law now in many places), I could make or receive phone calls without taking my hands off the steering wheel. And I'm told that the outgoing voice quality was very good, better than most speaker phones even when I was doing 75 on the interstate. I didn't try having it read text messages to me (or taking dictation), but I believe it would do that too.