SiK radio is a collection of firmware and tools for telemetry radios.
PX4 is protocol-compatible with radios that use SiK. SiK Radios often come with appropriate connectors/cables allowing them to be directly connected to Pixhawk Series controllers (in some cases you may need to obtain an appropriate cable/connector). Typically you will need a pair of devices - one for the vehicle and one for the ground station.
Hardware for the SiK radio can be obtained from various manufacturers/stores in variants that support different range and form factors.
The ground station-based radio is connected via USB (essentially plug-n-play).
The vehicle-based radio is connected to the flight-controller's
TELEM1 port, and typically requires no further configuration.
Hardware sourced from most vendors should come pre-configured with the latest firmware. You may need to update older hardware with new firmware, for example to gain support for MAVLink 2.
You can update the radio firmware using QGroundControl: QGroundControl User Guide > Loading Firmware.
The PX4 Developer Guide has additional information about building firmware and AT-command based configuration. This should not be required by non-developers.