Radio wave is an EM wave which travels very fast. Great velocity is proportional to great wavelength, which also means that the frequency decreases (but even if my reasoning is correct for this part, it's still wrong to me cause this is not perceived frequency of the radio wave).
All EM waves travel at the same speed in a vacuum, namely c (~3*10^8 m/s). The doppler effect doesn't describe any kind of change in the wave itself, but simply in the observed frequency and wavelength.
Put most directly, to measure frequency is to measure the time between two peaks of the wave passing the observer. If the observer and emitter are both stationary, then the observed frequency will be the actual frequency of the wave. But imagine an observer approach the emitter now - logically, the time it takes for two peaks to pass the observer will decrease, and then so will the observed frequency.
The magnitude of the shift depends on the magnitude of the relative motion between observer and emitter (how fast are they meeting or running away from each other?) - you can deduce this either directly from the equation for doppler shift by using small numbers for observer and emitter velocity and any large number (say, c) for wave propagation. You will in that case find that the observed frequency remains virtually unchanged from the actual frequency. That would explain for example why riding my bike, a stoplight doesn't shift in color as I'm approaching it.
You could also imagine this in extremes:
What if I had an imaginary, non-EM wave with wavelength of 1 meter approach me at 1/ms? Well, I would observe it to be a 1 Hz wave because a new peak passes me every second. Great.
But what if I move towards the observer at 1 m/s? Now I'm running into a peak every 0.5 seconds. That means I'll be observing a frequency of 2 Hz. It doubled, just by walking towards it!
If by contrast I did this for an EM wave with the same 1 meter wavelength and a velocity of 3*10^8 m/s, I would initially observe a frequency of 3*10^8 Hz. After approaching it, I would still be observing pretty much the exact same frequency.