NWO is a Grand Theft Auto trilogy concept. It consists of three separate releases that link each other, allowing the player to roam trough Liberty City, San Andreas and new cities.
The story evolves within the III/VC/SA cannon and you'll be able to see some of the stuff that the characters were doing before,between and after the official stories.
Radios are part of each game but accessible in any of them, as long you have them installed. In-game, some radios might be exclusive depending where you are at or the era you are playing in. Note: Some songs from other Grand Theft Auto titles are included as this trilogy it's not compatible with previous installs.