In some ways a shortwave radio station is similar to your local AM station. Both use amplitude modulation (AM) to put audio onto a radio signal. Both AM and shortwave stations may have similar types of programs. In fact Toronto's 1000 watt SW station (CFRX on 6070 kHz) simulcasts the audio from Newstalk CFRB on 1010 kHz (AM).
Here are some of the ways a shortwave station differs from an AM station:

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• A shortwave station may transmit with more power than your local AM station. The Federal Communications Commission (FCC) limits the power of AM stations to 50,000 watts (50 kW). Many AM stations transmit with much less power, some with 250 watts or less. Shortwave stations routinely use 100,000 watts of power. Some may use 500,000 watts or more! Of course higher power results in greater coverage area.

• Shortwave stations transmit in a different frequency range than AM stations. AM stations use a frequency band from 540 kHz to 1700 kHz. A station broadcasting on 540 kHz (.54 MHz) emits a wave 556 meters long, while a station using 1700 kHz (1.7 MHz) sends out waves that are 176 meters long. The lengths of radio waves become shorter as the frequency is increased. Shortwave stations use higher frequencies than AM broadcasters, ranging from 2.3 MHz (120 meter band) to 26.1 MHz (11 meter band). See a  list of shortwave meter bands here.

• Shortwave stations routinely rely on skywave propagation to reach their listeners. During daylight hours AM stations use ground wave propagation to service their listening area. This type of propagation sends a usable signal out up to about hundred miles from a high powered AM station. Of course a lower power station has an even smaller coverage area. After dark the atmosphere changes to allow AM signals to reach greater distances. 
  Radio waves from the station reach an upper layer of the atmosphere called the ionosphere. The ionosphere bends the waves back down to earth many miles from the transmitter. At night some "clear channel" AM stations can be heard up to a several hundred miles away. However shortwaves may be bent by the ionosphere during both day and night. These signals can reach listeners several thousand miles away.

• Shortwave stations typically use directional antenna systems to beam their signals to specific parts of the globe. 
  Your local AM station serves the town or region where it is located. Many stations use a single tower as an omnidirectional antenna (one that transmits with equal power is all directions). Some AM stations use directional antenna systems consisting of several towers. With a directional antenna system a broadcaster may target a specific part of the local area. Other AM stations use directional antenna arrays to minimize harmful interference to another station on the same frequency. On the other hand a SW station routinely uses a large, complicated antenna system to send its signal in a specific direction. So the signal reaches a certain portion of the world (called the "target zone"). According to Federal Communication Commission (FCC) regulations, a domestic shortwave station must choose a target area outside the USA. So our SW stations beam their signals to Europe, Asia, South America, Canada, etc. For maps showing all the world radio target zones click here. To find out where your favorite SW station is beaming its signal click here. For a interesting video explaining target zones click here. Although domestic shortwave stations are beaming their signal outside the USA, often the signal is still receivable inside the country.

• Shortwave stations typically transmit a signal that is 10 kHz wide, whereas AM stations may transmit a signal up to 20 kHz wide. A signal with narrower bandwidth (SW) will go slightly farther than one with wider bandwidth (AM). However a wide signal will provide better audio fidelity which is especially noticeable when receiving a music broadcast. Because SW stations use a narrower 10 kHz bandwidth, more stations may transmit simultaneously in the same band.

• Shortwave stations may transmit on several frequencies simultaneously. Your local AM station is licensed by the FCC to transmit on a single frequency. Larger shortwave stations routinely have several transmitters (and their associated antennas) operating on various frequencies at the same time. For example WRMI (Okeechobee, FL) lists 14 transmitters, many of which are transmitting concurrently.

• A single shortwave transmitter may operate on various frequencies at different times of the day. AM stations use the same frequency through the day. Because atmospheric conditions change during the day according to regular patterns, SW stations may have frequency agile transmitters that use various bands throughout the day. For example the 25 meter band may serve a target area well during the middle of the day, but 49 meters might be a better choice at night. So at specified times during the day a broadcaster will change to a different band for better coverage.