To prevent remote code execution attacks modern browsers block certain requests to resources. WebGL games cannot be run directly due to these restrictions.
Unity's build and run option listed in the build settings will host a local web server to host your build, and then runs it.
Laragon can host a simple local web server with a suitable url.
After installing and opening Laragon:
folder.test2, where folder is the name of the directory you made in step 2.Services like itch.io provide free hosting for WebGL games.
Services like these are aimed at publicly hosting finished products, so it's best to use a custom local web server during development.