Introduction to arbitrary radio/SDR
SDR allows you to receive (and emit if you have the adequate license and hardware) arbitrary radio signals. The adapter acts as a device that can sample (some can also emit) radio signals around a frequency you can specify and that is it. All the signal processing is done on the software. The theoretical aspects of the sampling and how the samples represent the radio data is a little complicated; it is not absolutely necessary to understand it to start but it will become very useful later when you start to develop your own scripts and signal processing chains in GNU Radio.
Note
To understand the theoretical principles of SDR and basic usage of GNU Radio, I strongly advise looking at this excellent series of videos by Michael Ossman: https://greatscottgadgets.com/sdr/1/.