Sounds like you are wanting to build a DIY FM receiver that can be tuned over a broad portion of the UHF band.
[I'll leave aside any legal implications — but make sure that your goal is permitted in the jurisdiction you wish to accomplish it! Some countries are fairly lax, others are much more strict, regarding who may listen in on radio signals.]
For a small taste of what an analog UHF receiver for FM signals might involve, you could start by looking at this Simple FM radio receiver circuit, or browse through other FM radio receiver designs. Note however, that these designs are for typical (usually ITU region 2) FM broadcast bands, i.e. VHF frequencies in the range of 88–108 MHz.
So at minimum you will need to adjust the tuning portions of the circuit for your desired bands. You may find some of the components used for those broadcast-band circuits do not perform well at 860 MHz, and need to be replaced with something better. You will also have to worry more about your PCB layout to avoid stray capacitance and unwanted inductance from interfering with its operation.
This may/may not be for the faint of heart.
That said, I have a couple yellowed and fading amateur radio books that include DIY circuits — even tube circuits! — for the even higher frequency 23cm band. So I don't want to discourage you, even if there's no go-to "Instructable" for your band of interest.
Now, if you are looking for something a bit more plug-and-play, and have an Android phone/tablet, then why not pick up an RTL-SDR device and a USB OTG cable?
RTL-SDR dongles were originally meant as DVB-T tuners, and can usually be found for between $10–30 USD. They can be used more generically with a wider variety of software that has sprang up, and can usually tune over the full VHF and well into the UHF range, e.g. 25–1750MHz.
I personally like NooElec'sNESDR SMArt unit, which is also available in a kit with some starter antennas. (They graciously loaned me a bunch for an SDR talk I gave, so I do have a conflict of interest.) The RTL-SDR blog's kits are also an easy recommend too. You can find even cheaper devices on eBay or AliExpress (try searching for RTL2832U) if you want to try one on an even smaller investment.
Once you have the cheap tuner dongle (and a small antenna), plug it into your phone with the OTG adapter, and use an app like SDR Touch or RF Analyzer to locate the signal and demodulate the audio into your headphones.
There's even more desktop software options available if you get hooked on SDR (like most do :-) but it sounds like your initial goal is something portable.