If you have a sine wave and a transmitter that is transmitting the sine wave into space with an antenna, you have a radio station. The only problem is that the sine wave doesn't contain any information. You need to modulate the wave in some way to encode information on it. There are three common ways to modulate a sine wave:
Pulse Modulation - In PM, you simply turn the sine wave on and off. This is an easy way to send Morse code. PM is not that common, but one good example of it is the radio system that sends signals to radio-controlled clocks in the United States. One PM transmitter is able to cover the entire United States!
Amplitude Modulation - Both AM radio stations and the picture part of a TV signal use amplitude modulation to encode information. In amplitude modulation, the amplitude of the sine wave (its peak-to-peak voltage) changes. So, for example, the sine wave produced by a person's voice is overlaid onto the transmitter's sine wave to vary its amplitude.
Frequency Modulation - FM radio stations and hundreds of other wireless technologies (including the sound portion of a TV signal, cordless phones, cell phones, etc.) use frequency modulation. The advantage to FM is that it is largely immune to static. In FM, the transmitter's sine wave frequency changes very slightly based on the information signal.
Once you modulate a sine wave with information, you can transmit the information!