corporations suck and building your own collection can be fairly easy if u just know where to look
i personally use soulseekqt which is a peer-to-peer method of downloading music. i strongly recommend using a vpn with this since your ip IS visible while downloading from someone (confirmed by me and my gf with her using wireshark)
you can also buy directly from bandcamp if you want to directly support artists, but unless your taste is incredibly niche and limited only to small artists and not big ones like, say, Korn or whathave you, you can use...
tidal.squid.wtf to download just about any music thats on spotify or tidal
theres also ripping, which is covered towards the bottom
organizing music can be one of the most irritating parts about curating ur collection, but it can be made easier with (free!) software like:
musicbee - which is one of the most commonly recommend music player softwares due to its automatic organization and clean interface
foobar - which is appreciated for its simplicity, but this can also be a fault. best for small collections
winamp - for its interface, customization, and clean look
..and many, many more. reddit threads are a great place to look for recommendations that fit your usecase
ripping music is a little more convoluted but ultimately not that hard.
you'll need a cd player for your pc (or a built in one if you're lucky) and software such as Exact Audio Copy (EAC), which is antiquated but still perfectly functional
this tutorial is a very detailed look into how to most efficiently use EAC. its complicated but worth it for high quality .FLAC rips!
theres various music file extensions such as the 3 most commonly used/discussed - .mp3, .flac, and .wav
i'll tell you right now for free that you want .flac, .flac files are the highest quality while also using lossless compression (basically, compression without loss of quality) so they're not ginormous.
.wav files are also high quality, but are very large files due to lack of compression.
.mp3 files are smaller but have a loss of quality due to compression. high bitrate files are superior in quality. tl;dr high bitrate = higher quality, low bitrate = low quality. bitrate is described as kilobits per second (kbps). so 128kpbs is inferior to 320kbps.
tl;dr use .flav unless storage is a concern, then high bitrate .mp3 is fine.