Yes there are internships at radio stations. Sometimes they require you go through your school to get the internship, but other situations you can intern directly under them.
Look up radio stations online and most all of them have a "career" section on their website. That is where they post job opportunities and internships. Don't be discouraged if you don't get the first one you apply for, I had to apply for several before I got my first internship with a TV station, so just keep trying!