Software Defined Radio’s (SDR) are used to convert a signal at some arbitrary high frequency to a lower frequency. This process is called down-conversion. Once that is done, the signal is able to be sampled and digitized to perform digital signal processing (DSP) on a computer. GNURadio is the program that will receive and process that data coming from an SDR.
This also works the other way. You can use GNURadio to produce a signal and send it to the SDR which will then upconvert it and transmit it out.
GNURadio works best on Linux, and specifically on up-to-date versions of any given distribution. It can also be installed on MacOS, through macports, but it compiles the software from scratch which takes a long time.
The reason why SDR’s are beneficial is their ability to be reconfigured using software, specifically for modulation.