In the photo above of a handheld citizens band radio, the metal coil is the antenna. When the radio is transmitting, the radio produces an electric current that surges back and forth in the antenna, which emits radio waves. And when the radio is receiving, radio waves induce a tiny alternating current in the antenna. The current in the antenna carries the radio signal.
For a drawing of an electromagnetic wave (radio waves are one example) see Hyperphysics: Electromagnetic Waves. To learn more about the CB antenna shown in the photo, go to this Wikipedia article and scroll down.