Vicky,
You haven't given us enough to go on to help you out.
Having an antenna that can zero in on the transmission source is one big project. RF? Infrared? Sound?
Building a robot is another. You haven't mentioned inside/outside/terrain/obstacles/etc.
Why not start with one or the other?
Check out the mobile robots at pololu.com, will be on sale this weekend, that could be a good starting point.