Do they listen to the radio is an English equivalent of 'Est-ce qu'elles écoutent la radio'.
The verb 'est' means '[he/she/it] is'. The demonstrative 'ce' means 'this, it'. The interrogative/relative 'que'* means 'that'. The personal pronoun 'elles'means '[feminine] they'. The verb 'écoutent' means '[they] are listening to, do listen to, listen'. The feminine definite article 'la' means 'the'. The feminine noun 'radio'means 'radio'.
All together, they're pronounced 'eh-skehl zeh-koot lah rah-dyoh'.