SDR CTF: Commercial FM on Windows
Requirements: Windows
Capabilities: Basic reception of RF
Since this is your first step, the goal is to work out the basics of getting the device working with your computer and the installing the software before you begin going after more interesting signals. Here is a simple guide to get you under way:
http://www.rtl-sdr.com/rtl-sdr-quick-start-guide/
Updating the driver and installing SDRSharp will get you started. If windows won't recognize your dongle, you'll probably have to use zadig (http://zadig.akeo.ie/) to get started.
Once you have SDRSharp installed and running, select the source (most likely RTL-SDR (USB)) and click the play button. If things are working correctly you should see something like this:

Take time to play around with the sliders on the right of the screen: Zoom, Contrast, Range, and Offset. You'll want to "tune" them so that they highlight signals in the waterfall and minimize the noise.
Observe the spike in the center of the waveform plot, this is the DC offset/component/bias introduced by the sampling method used to convert the analog signal to digital. It will follow you around as you tune to different bands like a relentless stalker. This is why I first offset my tuning from the signal that I'm after and then select it visually on the plot to set the tuned frequency.
Still having trouble? If your able to hear static from the software, but can't pick out signals, try improving your antenna. The antennas that come with these devices are usually not that good (if I'm being generous,) and adding any long random length of wire should work for pulling in commercial FM signals.
Next Steps:
Granted this isn't much of an accomplishment to pull in local commercial FM stations, this is merely the first step of hopefully many. As for what to try next, I would take a look at reproducing this on Linux, since some of the flags are easier using Linux. (SDR CTF: Commercial FM on Linux)
You could try it again on "hard-mode" by using GNU Radio
Or take a look at this plot:

What are those interesting bars to the left and right of 104.9 MHz? That's Radio Data Service
Perhaps you have an interest in Weather Radio?
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