Step 0: Prerequisites

For this guide, I will use Navidrome (since it is what I use currently). I will guide you through how to set it up as a server rather than an app, as this is also how I use it, but also because, installing it as an app, especially on Windows, shouldn't be hard. 

For this guide, you'll need a server. This can be anything that can run Linux on it. Old PC, laptop, SBC, anything really. Navidrome is available for: amd64, armv6, armv7 and arm64. If you don't understand what these mean then you probably have a amd64 device. If it is a very old device, like 10-15+ years old, it might be i686, and Navidrome probably won't work.
The device doesn't need to be very powerful, it can even run on a Pi Zero.

You will also need patience and/or motivation if you aren't familiar with selfhosting. Selfhosting isn't easy but very much worth it!