An SDR receiver lets you watch a section of the radio spectrum on a computer and choose how the signal is processed in software. In addition to audio, you see the spectrum and the waterfall, which shows how signals change over time.
Check what your receiver can do
Before installing any software, find out your model's frequency range, antenna connector type and driver requirements. Not all USB receivers perform equally well on HF: their capabilities depend on the design of the device.
For the first test, choose a known strong signal within the supported range.
Connect a suitable antenna
The antenna must suit the frequencies you want to receive. If the receiver works but you hear almost nothing, the cause may not be the software but an unsuitable antenna or a poor connection.
If possible, place the antenna away from the computer, power supplies and other electronics.
Choose the right mode
Matching the frequency is not enough. For intelligible audio you need to select the correct modulation type and receive bandwidth.
A filter that is too narrow cuts off the wanted signal; one that is too wide lets in extra noise and adjacent stations.
Set the gain
Maximum gain does not always give the best result. Strong signals can overload the receiver: spurious signals appear on the display, and weak stations become harder to pick out.
Start with moderate gain and change it in small steps. Judge by how readable the signal is and by the background noise level, not just by the height of the peak on the spectrum.
Write down the result
Save the frequency, mode, filter bandwidth and gain setting. Next time this will help you repeat a good reception.
The first goal is to reliably receive one known signal. After that you can compare antennas, explore different bands and move on to decoding digital transmissions.