Mu-plugins? rtmedia_allowed_types to change default audio thumbnail

I cannot figure out how to change the default media thumbnail for audio files. The documentation states “Note: It’s necessary to use this filter in mu-plugins in order to make this filter work.” This is what I don’t understand! Where do I place the code block, and also in which directory do I place the new default thumbnail (default_music_thumb.jpg)?

PLEASE NOTE I am aware of the documentation at