Radio waves can happen naturally - in this case they come from lightning, or from an astronomical object (this term, or celestial object, refers to any natural object detected in space such as planets, natural satellites (eg the moon), asteroids etc. A radio wave is an electromagnetic wave (electromagnetic energy is a kind of radiant energy, that is energy that is carried through oscillating magnetic and electric fields).
The wavelength of a radio wave is longer than that of infrared light and its frequency can be anything between 3 khz (kilohertz) and 300 GHz (Gigahertz). Hertz is a unit of one cycle per second and is named after the scientist (Hertz) who proved the existence of radio waves.
We also create our own radio waves for use in communications, navigation etc. As they can interfere with each other their use has to be strictly regulated.
You can learn more about radio waves here.