There are literally thousands of websites out there on how to make your own radio/transmitter, as well as kits, schematics, and forums! It's something that you can do with even the simplest of hardware, depending on what band/method you want to receive/transmit on. Do you want it to be used for communications or do you just want to be able to listen? You seem to be implying that you want to be able to do both, in which case you'll need both a transmitter and a receiver.
Here is a very simple AM receiver circuit, and there are many more out there. And
Here is a very simple AM transmitter circuit. Of course, these (probably) won't be as powerful as the ones you can buy in a store, but it will be a good introduction to building RF circuits. Build both circuits into a box, and you have yourself a walkie talkie/radio. A 6 year old could do this if they wanted to (I did!). I'm not sure what you're going for, so I'm just shooting around in the dark, but I think that'd be the best place to start. Let me know if you need any more information, and please don't let people discourage you from tinkering with whatever you desire. Hope this helps! ^^