When two radio stations are transmitting on very close frequencies, it can be difficult for the radio to distinguish between them. This can cause interference, where you hear both stations at the same time. However, if the two stations are broadcasting on frequencies that are far apart, the radio will be able to tune in to one station without interference from the other.
The bandwidth of a radio station is also a factor in how much interference you will experience. Bandwidth is the range of frequencies that a radio station is allowed to transmit on. The wider the bandwidth, the more likely it is that the station will interfere with other stations. In the United States, FM radio stations are allotted a bandwidth of 200 kHz, while AM radio stations are allotted a bandwidth of 10 kHz.