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Everything is just vibrations; vibrations are just waves. Vinyl records make a physical copy of the sound wave. As the needle drags across it at the correct speed it starts vibrating, reproducing the sound that went into the groove in the first place.
Sound files are more tricky: Basically you need to measure the wave as it goes up and down, store it into a file, and then have a computer convert it back into vibrations with the help of a loudspeaker. The more times you measure the sound wave per second, the better quality your recording will be.
As we know that sounds are waves, it's not so hard to imagine a text file containing sound. Below is a very simple wave form represented with numbers:
- _ - ⁻ - _ - ⁻ - _ - ⁻ - _ - ⁻ - _ - ⁻ - _ - ⁻ - _ - ⁻ - _ - ⁻ - _ _ - - ⁻ ⁻ - - _ _
1 0 1 2 1 0 1 2 1 0 1 2 1 0 1 2 1 0 1 2 1 0 1 2 1 0 1 2 1 0 1 2 1 0 0 1 1 2 2 1 1 0 0
In theory, a computer could convert this into sound. It would sound awful.
While it sounds simple enough to say 'waves captured in media reproduce sounds' it's still pretty mind bending to note that we can capture all the distinct parts of a symphony in that one wiggly little groove of a record.
That is because of linearity/superposition - look up both of those concepts for more info. Basically, you can add as many sounds together as you'd like and it is the same as a single, different sound - so if you can recreate the one sound, you can recreate all of them.
The speaker doesn't know "this part of the wave is from the drum and that part is from the guitar", etc
Which is still mind blowing in its own right. What's incredible in the end is not so much the process of sound recording as the nature of reality itself.
For this part of the equation I find it useful to think of two tin cans with a string between them, which is a perfectly capable microphone/loudspeaker set-up.