I really need some help..
I'm kinda new in a creating a Twilio IVR and I wanted to ask a question about it.
You need to create the application on a server of your own or use Twilio Functions (NodeJS), for example, to host the necessary logic. You can also use Twilio Bins to host static TWIML, if it doesn't change. A full featured IVR will need several TWIML files, one for each response scenario.
For audio files, look up the Play verb, Twilio Play Verb docs instead of the say verb. Twilio now allows you to host some media on their servers, which is handy if you are using their bins or functions to host your code.
Twilio also has several walkthroughs regarding setting up TWIML and using the bins and functions on their documentation site.Here's an IVR phone tree in C# (They have a nodejs version also - you cant host the C# version without an accessible web server). Twilio C# IVR Tutorial