I'm buying the following: https://www.amazon.com/RTL-SDR-Blog-RTL2832U-Software-Defined/dp/B0129EBDS2/ref=sr_1_3?ie=UTF8&qid=1480215974&sr=8-3&keywords=RTL-SDR to analyze radio waves as something new to learn.
It needs an antenna but I am new to this field.
If I buy an antenna that has a SMA Male connector does the antenna need to say it operates in the frequency of 500 kHz to 1.7 GH or does any antenna matter?
You can think of the frequency range specification as if you did have an ideal “every frequency” antenna but the signal passes through a filter before reaching the receiver. That is, any signal will be attenuated by some amount, depending on the frequency.
This attenuation does not mean that the signal cannot be received; it means that it is weaker, and therefore will have a worse signal-to-noise ratio (SNR) once the noise and imperfections inherent to your receiver have their effects. If the SNR is not good enough then you will hear lots of noise (for an analog modulation) or be unable to decode the signal (for a digital modulation).
In the extreme case, the signal will be so weak that it is “below the noise floor”, meaning that (in most cases) you cannot even tell it is there.
The upside of the frequency selectivity of an antenna is that it helps you not receive the signals you don't want. Your receiver (whether RTL-SDR, traditional analog radio, or anything else) is not perfect at selecting exactly the signals in the frequency range you have tuned it to, and some amount of out-of-band signals will come in anyway and interfere with the process of demodulating the signal you actually wanted.
Therefore, you should not look for an antenna whose specified frequency range matches your receiver. In fact, it would be very hard to do so — a “500 kHz to 1.7 GHz” antenna would end up being an impractically large metal structure. Instead, you should use multiple antennas which are individually suitable for various frequency ranges.
Since you are not transmitting, you do not need to stick exactly to the specifications of an antenna (which are generally written for transmitting and not for receiving, unless otherwise specified), but you do want to be in the right order of magnitude.
For example, my home station has three antennas I use for general receiving, and they can be (roughly) described as “HF, VHF, and UHF” — that is, useful for 3-30 MHz, 30-300 MHz, and 300-3000 MHz. Each one has a dedicated RTL-SDR device (with switches to swap them over to transmitting use), but you can also just replug things as you wish. (BNC connectors are much more convenient for this purpose than SMA connectors, since they do not have to be screwed down tightly each time.)
When you're just getting interested in things and you don't know what frequency ranges you're going to be interested in, the cheapest and most flexible way to get started is to use homemade wire antennas.
Get some wire — solid for small rigid self-supporting antennas, stranded for large ones strung between supports — and find some way to hook it up to the coaxial jack on your receiver.
One way is a binding post to BNC adapter, in your case paired with a BNC-to-SMA adapter, and you clamp the wire in the posts. Other people like to buy connectors and solder the wires to them instead, which is better if you're handy with a soldering iron and want something for eventual long-term use.
There are two basic parts of antenna theory you'll find helpful:
Length. If you are building a monopole, dipole, or ground-plane antenna, you have one or two wires sticking out from the feed point (where the coax meets the antenna). That wire should be roughly one-quarter wavelength at the frequency of interest. That is, find the frequency, convert to wavelength, then divide by four, and cut that much wire. (Remember, as I mentioned above, that it doesn't have to be at all exact for receiving.)
Polarization. The polarization of the signal affects whether your antenna's wires need to be oriented horizontally or vertically, and therefore what designs of antenna are more practical for the application.
If radios were ears, then frequencies would be pitches. Human hearing goes from about 20 to 20,000 Hz, and your radio can "hear" from 500,000 Hz to 1,700,000,000 Hz. There are sounds and radio waves outside those frequencies, but you just can't hear them.
Antennas have a range of frequencies they can "hear" also. You can connect an antenna designed for any frequency you like to the radio and nothing bad will happen, but unless the antenna and the radio can hear the signal, you'll just receive silence.
What frequencies you need to hear depends on what you want to receive, obviously. For example, FM radio broadcast is from 88 to 108 MHz, and the 2 meter amateur band is around 144 to 148 MHz, for example. Local regulations may be different, of course.
