A Software Defined Radio is essentially a radio that relies on a computer to do most of its data processing. It doesn’t rely on analog hardware too much – instead, most of what is does is “defined in software”, hence the name.
Usually, SDRs can detect electromagnetic waves in a much wider range than a common FM radio, which makes it especially exciting.
I looked into the topic a bit, and a popular, cheap SDR right now is the RTL-SDR Blog V4, which has the form factor of a simple SUB dongle. You can get it for around $30, or as a kit with telescopic antennas for $50.