There are four standard file storage options you can choose to configure. Most will use the default File System option which stores files on your local server. Any option can be used for a Content Distribution Network (CDN) if you choose to use such a service. You can create multiple storage configurations to mix and match storage for various areas of the Suite to suit your needs.
Default option which is sufficient for most environments. This stores files on your local server with no special configuration needed.
Amazon Web Services (AWS) S3
Remote storage system recommended for very busy sites. Service fees apply.
Use if you do not have much file storage space available or file writes are undesirable for your server environment. Will require more server resources to display a file.
For database storage no configuration is needed. Your files will be stored in MySQL in a BLOB column type. This takes more resources but is sometimes the only option available based on your environment.
Using a CDN
All storage options, excluding Database, can be used with a CDN. You will see a "Use Custom URL?" option under those options where you can override the default URL to use a CDN. You will need to contact your CDN provider for instructions on the proper URL to use.
As an example here, I have visited System>Overview>Files>Storage Settings>Configuration and selected to edit one of my Storage methods (in this case my uploads)
We can then switch on the "Use a custom URL" settings and add in our CDN URL as shown below.