Auditory Hallucinations: hearing voices can range from hearing what feels like someone else inside your head that you can converse with in thoughts, through to hearing very clear and convincing voices apparently through your ears. If you aren't too deluded, you can usually rationalise that a voice is not real because of inconsistencies such as there being nobody present - the voice is right next to you, but there is nobody visible.
The more deluded you become, the more reasonable bodyless voices may seem, and the less aware you may be that something is wrong. You will probably get clues from other places, like people telling you you need help, or people looking at you strangely all the time.
Psychiatrists will probably pay little attention to your mentioning of voices that seem like thoughts, unless they appear to be persuading you to do things that are dangerous.

Hearing voices talking directly to you on the radio can be really freaky, especially when you are not expecting to be personally addressed. But if you are expecting a secret security agency to contact you while you are driving, the radio speaking to you will not seem out of place.