SDR = Software Defined Radio, generally a USB device with an antenna connector, usually  based on the RTL2832U  chip, can be bought on eBay & Amazon for under $20,  a good example from Amazon Is Here or just search for that chip name there- Ideally, including a few antennae:
More detailed information about bandwidth and specs are HERE.
Units usually looks like this inside –
They are not usually sold with software because a very wide range of (generally free) pieces of software work nicely with them- Some examples are:
GWRX from Germany which is available pre compiled for the MAC, Linux & Raspberry PI and simply needs to be Run. The other are CubicSDR for MAC,  Windows & Linux. Also Try: SDR# from AirSpy.
These programs will set you off down a long path of discovery.
The antenna itself is the defining component of radio listening  and no matter how good the receiver, without a decent signal to start from,  one may as well not bother. LUCKILY a decent antenna for shortwave radio,for example, is inexpensive to install though it may involve some gymnastics, geography and physics. At least please attach SOMETHING to the antenna input that is a few feet long!
The frequency range is supposedly 64 – 1700 MHz with a gap at 1100 – 1250 MHz (no I do not know why) and the software listed above takes care of almost any type of modulation you can imagine:
FM, FM Stereo decoded, FM narrow band,
AM, SSB, CW (Morse!) and much more.

We are all use to little FM & TV antennae – well a proper antenna will maximize the radio’s ability to gain weak signals, called sensitivity.

As a hugely general guide: Run out as much thin wire as you can find,
almost any kind will do-  at least 25 feet, ideally outside your house, attach the near end to the little stub antenna that should come with the USB radio, feed it out through a window or door,
hang it in clear air (IE not draped on anything) as high as possible and tie the other end to something insulated (not metal) at the other and
I won’t go into all the pitfalls of tripping the neighbors, strangling the pets, hitting power lines, trespass etc — Common Sense please!
LOTS of Information on the internet like THIS

It’s a good idea to keep the device away from cell phones, cordless devices etc.
Most computers naturally generate lots of radio harmonics, and these ‘transmissions’ will clearly show up at multiples of your computer clock frequency. These little USB radios do not cope with interference too well– small and sold in plastic cases!
Most MACs (which I use) are not bad in this respect,
especially the MacBooks with the all metal cases. Plastic Laptops will be far worse : )

Here is roughly what to expect it all to look like:

Best

 

Paule Castro