For more information on your device, select it on the Support main page.
If you have a Nokia mobile phone that has a built-in FM antenna (for example Nokia 5030, Nokia X2-00, X2-02, X3-00 and Nokia 600) you can listen to the FM radio without wired headset.
With other phones you have to use a wired headset which acts as a FM radio antenna. You have still the option to listen to the radio via headset or loudspeaker.
Please check your phone user guide for more details of FM radio function.