how to produce EM wave

They are geberated by different devices:

Radio wave: by an oscillating circuit (e.g. an inductor-capacitor circuit), modern oscillating circuit incorporates a quartz crystal for frequency stabilization.

Microwave: generated by a klystron or magnetron, which makes use of electron resonance in a cavity to produce microwave.

Visible light: by an incandescent light bulb. The high temperature of the bulb filament causes oscillation of molecules that produce visible light.