How the name of a song can be displayed when listening to local FM channel in MyRadio?
The broadcast channel is surely using Radio Data System (RDS), also called Radio Broadcast Data System (RBDS) in the United States. It is now common practice (at least in my country) to transmit informations like Channel's name, programme's name or song's name with this system.

Your app simply receives and parses these data to display it, like a compatible radio set or car's radio would do.