Electromagnetic (EM) waves are transverse waves. In a transverse wave the oscillations are at right angles to the direction in which the wave travels and transfers energy. In an EM wave the oscillations are in electric and magnetic fields, not in the particles of a material.
Because EM waves do not need particles to carry them, they can travel through a vacuum, such as the empty space between the Sun and the Earth. No material (medium) is needed. Sound is different: it is a longitudinal wave and cannot travel through a vacuum.
All EM waves travel at the same speed in a vacuum, about 3 × 108 m/s (300 million metres per second). Radio waves and microwaves share this speed in a vacuum. They differ in their wavelength and frequency, not in their speed.