As far as I understand, you are looking for a conceptional, introductory answer. There are two sides of it. First, antennas actually pick up waves with every frequency. However depending on their geometry and lengths, they pick up some frequencies more and others somewhat dampened. This is pretty similar to a bandpass filtering process, where only resonance frequency is able to pass through the circuit unaffected and the rest is diminished due to filter. For example the old radio antennas (long and straight shape) usually are better for receiving signals having wavelengths closer to their length, so longer the antenna higher frequency it would receive. You can learn more about this in a microwave class.
Second part is as you mentioned, we actually try to gather a wide range of frequencies in air and we use a bandpass filter to pick only one frequency among them.
However in real life applications, you need to amplify the signal before you filter it, because there is not much power transmitted to the circuit from an antenna. Therefore setup is (RECEIVE)->(AMPLIFY)->(FILTER) before using. And a buffer would be good before using the signal because of the impedances.
If you are actually going to do this setup, first get an antenna and make sure it can receive the frequency you are looking for without much dampening. Then use an amplifier, here is the topology: (use common emitter since its the simplest)
, just use a potentiometer and look for a good waveform. Then go for a band pass filter, and use a variable capacitor if you want to be able to do frequency tuning. A bandpass filter is just a RLC circuit, you easily can find the resonance frequency online if you need to.
Finally get an OP-AMP that would work in your frequency range because an OP-AMP is the easiest way to make a buffer. Just write op-amp buffer circuit in google and look for images (take the one without resistors)
then you can go ahead and connect it to a LED. Best of luck!