The radio station encodes some information on a radio wave. This is known as modulation. They then broadcast the radio wave with the encoded information onto a certain frequency. Our radio antenna picks up the broadcast based on the frequency to which our radio dial is tuned. Our radio then decodes the information from the radio wave and plays that information through the speakers as sound.
Hence, the radio work on the phenomenon of amplitude (AM) or frequency (FM) modulation. Modulation is the variation of some property of the radio carrier in a manner that conveys information.
AM stands for amplitude modulation, which means the amplitude of the radio signal is used to encode information. FM denotes frequency modulation, which uses a change in frequency to encode information. From this you can see that both AM and FM radio use modulation to encode information.