Conduction is heat transfer through a material or from one material to another in direct contact. Cooking something in a frying pan is a good example.
Convection uses heat transfer by movement of a gas or liquid.
An oven cooks by convection. Radiation heats by electromagnetic waves. The broiler or a toaster cooks by radiation. Microwave ovens also cook by electromagnetic waves. A few of the cooking methods take advantage of more than one heat transfer principle.