How to make a radio sound like in the movies?

That effect sounds like a mix of several things happening.

First, as per the link that ryclark provided, either use a generic phone filter (Effects/Filter and EQ/FFT Filter) or else adjust EQ for yourself until you're happy.  The easiest way to do this is probably Effects/Filter and EQ/31Band Graphic EQ.  Just start turning down frequencies working from either end.  I suspect you're probably looking for a range of something like 350 to 4000 Hz remaining, the rest turned off.  For the compression part of the suggestion, the easiest way might be to have a play with Effects/Amplitude and Compression/Hard Limiter.  Pick a maximum level you want then add a bunch (say 6 to 10dB) of boost.  Obviously you can customise this more if you use an actual compressor.but that'll probably take some tutorial watching.

Second, they have a general hum noise continuous under everything.  If you haven't discovered www.freesound.org yet you should join up right away (free).  The have thousands of sound effects you can search...just go looking for "radio hum" and one that sounds about right for you will be towards the bottom of the first page of results...I think it's called hum.wav.  Just mix a loop from this under your radio chatter.

Finally, a possible cheat you could play with:  download the free app Ozone Vinyl ( iZotope Vinyl: Free Vinyl Simulator Plug-in | Free AAX, VST, AU Plug-in ).  It's actually designed to make music sound like an old vinyl record but I've used some of the adjustments (electrical noise for example) to help mangle sounds into everything from old film to walkie talkies.