Does that mean I could set the sound (a song) to play after activating an object and therefore create a sort of radio?
You could place the song in your sounds folder and script the object to play it when activated. Something like:
scn ScriptNameHereBegin OnActivate PlayerPlaysound NameOfFileHereend
You could also do a variation on it using DoOnce, like:
scn ScriptNameHereshort doonceBegin OnActivate Player If DoOnce == 0  Playsound Song1Here  set DoOnce to 1 Elseif DoOnce == 1  Playsound Song2Here  set DoOnce to 2 Elseif DoOnce == 2  Playsound Song3Here  set DoOnce to 3 Elseif DoOnce == 3  Playsound Song4Here  set DoOnce to 0 EndifEnd
That would allow you to play four different songs in sequence.