Electromagnetic waves are made of oscillating magnetic and electric fields and, like all waves, they carry energy. There are many types of electromagnetic waves. From lowest energy to highest energy (red to blue) there are radio waves, microwaves, infrared, visible light, ultraviolet, x-rays and gamma rays.
Cones in our eyes are receivers for these tiny visible light waves. The Sun is a natural source for visible light waves and our eyes see the reflection of this sunlight off the objects around us. The color of an object that we see is the color of light reflected. All other colors are absorbed.