To elaborate, a photon is the quanta of interaction between an EM wave and matter. What that means is this:
An EM wave is a wave that propagates through the electromagnetic field. What's waving? The electric and magnetic field vectors. The field vectors are what we use to show how an electric or magnetic field will interact with charged particles, and can be imagined as arrows that point one way. For example, if the electric field vectors are pointing up, then a negatively charged particle will feel a force that pulls it down. In an EM wave, these vectors are oscillating in magnitude and direction, repeatedly moving between pointing "up" and then "down" (or whatever direction the EM wave is polarized).This is how an antenna works. The EM wave causes the electrons to oscillate in one direction and then the other.
But what about photons? Well, first we must realize that when an EM wave interacts with matter, such as the electrons in an antenna, it gives up energy to them to make them move. This giving up energy is the entire crux of the issue. In classical physics, an EM wave gives up energy in a smooth, continuous manner and the amount of energy it can give up at one instant can be any value. But this is wrong.
The development of Quantum Mechanics showed that an EM wave does NOT give up its energy in a smooth, continuous manner. Instead, it gives it up in little "jerks" or in "packets" of energy. How big each jerk or packet of energy happens to be depends entirely on the frequency of the EM wave. Higher frequency EM waves have more energy in each packet than lower frequency EM waves. This is how an X-Ray or Gamma Ray can ionize atoms and molecules; the amount of energy in its packets is high enough to completely eject electrons from the material.
These packets are what we call "photons".
In addition to energy they also carry some other quantum properties which are beyond the scope of this thread. But they are not physical objects in the usual meaning, nor are they purely waves. And they are most definitely not moving up and down as an EM wave propagates. Those are the field vectors, not the photons. They are, quite simply, the very odd way that light interacts with matter.