Well... Its that you're saying it 'yerself.... Nah jk. Its a Special radio which will be in the Radio Tab in the Arsenal.
It looks like 1 of em proper big radio boxes with a antenna and a lil old Bridge like Phone thing hanging from the Side.
Once you've got that in your Inventory you'll get a scrollwheel option for the Radio, From there Play a bit with the handles etc. You'll get a highlight for what is what.