Every EM wave carries energy. A source gives out the waves and an absorber takes them in. The wave transfers energy from one to the other without any matter having to travel between them.
The Sun is a source of infrared radiation. When this radiation is absorbed by your skin, the energy makes you feel warm. In a microwave oven the source is a device that produces microwaves. The water in the food absorbs the microwaves, gains energy and heats up.
A radio transmitter is a source of radio waves. The radio waves are absorbed by an aerial in a receiver, where the energy is transferred to the electrical circuit. Likewise, a lamp is a source of light and your eye absorbs it so that you can see.