Well, I always like to correct scientific misconceptions.
Many things are transmitted over the electromagnetic spectrum. This ranges from radio waves (TV, radio, home wireless networking, satellite links), microwaves (cooking and mobile phones), infrared (remote controls, heating), visible light (what we can see), ultraviolet (tanning), x-rays (medical imaging) to gamma rays (emitted by some radioactive isotopes, used to sterilise food).
Basically, the transmitter is a big long strip of metal, and electricity races up and down it to produce the radio wave (or microwave, for mobile phone masts). This radio wave spreads outwards from the mast in all directions. When your receiver (antenna, dish, etc) gets in the way, the radio wave induces an electrical current in the antenna, thereby creating the signal for your TV, radio or computer.
The radio waves aren't actually broadcast direct to you, in the way that, say, your phone line is directly connected to your house. They're broadcast out to everyone, only they're encoded so only people authorised to use them can. So no one can siphon off your share unless they're directly, physically blocking the way.
If you believe everything you read, better not read.