In the Russian to English course, they had to write "это" where "the" would normally be in the English sentence. From what I gather, in the English to Russian course, they decided it would make more sense to teach that "это" solely meant "this" or "that" to avoid confusion/overuse of the word, because it is not necessary in Russian like it is in English.
I am not a native Russian speaker, but I think the sentence might be a response to someone claiming something unbelievable about a particular radio, like maybe it shows lyrics for the songs it plays. The person hearing the unbelievable claim might respond, "I don't believe you. Show me. Where is this radio?"
Radio waves are the things that move through the air unseen. Radio (the noun) usually refers to a physical radio receiver like a boom box, electronic gear, or in the old days a big piece of furniture that held the radio receiver with all its tubes and things. The radio station or radio broadcast or radio program is most frequently an adjective form of radio modifying a noun. (Explanation is meant to help in understanding not reflect the absolute correct word on the English language).
This phrase "Where is this radio?" makes no sense in english. If the radio is nearby, then the questioner knows where it is and would not need to ask. He might ask "Where is that radio?" with emphasis on 'THAT" to indicate frustration at the invisible/lost radio. Or gently ask "Where is the radio?"