Here's what I found out for you:
It does actually say on the toys r us website that it does feature a real radio(
http://www.toysrus.com/product/index.jsp?productId=3103085). I found the pdf manual, so check out page 14 in it, it shows where the radio connectors are located:
Manual
http://trus.imageg.net/graphics/corp/3103085_LinkDoc_1.pdfOn page 17 it suggests to change the batteries, replace all 4 with C alkaline batteries.
Page 27 is all about the radio use.
If something seems fishy under the hood, and non of the things in that manual helps, I suggest contacting the location of where you bought it asap to see what's going on.
Hope this helps!
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for all the hard work to the Community! :D
~~Dayminner