Transfer private MP3 files from my PC to my iPhone SE 2020

If you wish to copy MP3 files from a PC to an iPhone via iTunes then it is very important to connect both devices physically at least once. Only then sync via iTunes will be available and possible.

Some additional possibilities:

• using designated software:
  • Dr. Fone - Phone Manager (iOS)
  • EaseUS MobiMover.
• using any cloud storage solution like Dropbox or Google Drive, by installing it on both iPhone and PC and using the same account in both devices.

Here are two example videos (out of thousands out there probably) that describes some of these methods above in some more details:

• How to save an MP3 to your iPhone
• How to Transfer MP3 to iPhone

It is also possible to transfer files via wireless network using AirDrop, however this method seems to be possible only from Mac, not from PC, which is not, what OP is asking for.

You may be able to just use SnapDrop instead of AirDrop. This does not require installation and works similarly to AirDrop. It has the advantage that it is compatible with all devices that support WLAN and Bluetooth. https://snapdrop.net/