Before building your own radio , you need to know about topics given below. If you already know about them then skip that part and move directly towards the link of building radio.
What is radio?
History of Radio according to wiki
How radio works?
What is the difference between AM Radio and FM Radio?
How to build a radio?
2.Pdf files for making a Radio ( Download : Right click and save target as or save link as ) :
Boys life workshop Build a radio
Make your own Crystal Radio
Learn to make FoxHole Radio
Electronics Project Ideas