These molecules carry the sound waves by bumping into each other, like Dominoes knocking each other over. There is no sound in space because there are no molecules there to transmit the sound waves. Electromagnetic waves are unlike sound waves because they do not need molecules to travel. This means that electromagnetic waves can travel through air and solid materials - but they can also travel through empty space. This is why astronauts on spacewalks use radios to communicate.
Radio waves are a type of electromagnetic wave.