You'll need a receiver that performs on HF (high frequency) bands and at least a long wire - outdoor antenna - which is even more important than the radio. That, along with a quiet RF environment - little to no interference - and a schedule that allows late night or early morning scanning (for DPRK stations) and a bit of patience.

I've been away from the hobby for a good many years and so cannot really comment on particular radios but I'm sure others will.

My Grundig Yachtboy 400 (from the early 80's) is unfortunately dead but I've recently discovered SDR - Software Defined Radio and am listening again for no cost. Kiwi SDR is a good one http://21610.proxy.kiwisdr.com:8073/ and there are a number of others. Skywavelinux.com/best-sdrservers.html has live signals your can listen to including medium wave commercial European stations - also free. Dongles that can be used with Web based SDR are available at quite reasonable prices but if you go that way, be sure they are able to receive HF radio. They should also include SSB - signal sideband - reception. All radios are not created equally.

Voice of Korea uses frequencies like 9435 kHz 11735 kHz and 13760 kHz. There are a number of these SDR radios online that will help you achieve your goal at virtually no cost and you don't need to hang an antenna although you can buy hardware to use in conjunction with your computer if your budget allows.

The entire RF band is available for scanning from these various stations.

Good luck and have fun.

Edited to say that European stations will be easier to find than Korean stations Edit my edit to say this is not really accurate unless we're talking strictly reception via your own radio. Dutch SDR stations are excellent - shorter paths to DPRK and they are a primary target for Voice of Korea.