The origin of this phrase, which means "Yes, O.K., I understand you" dates back to the earliest days of wireless communication, when the Morse code letter R (dit-dah-dit) was used to indicate "O.K.--understood." As communications advanced to include voice capabilities, the military alpha code (Able, Baker, Charlie, etc.) was used as a logical extension of such single character responses. R=Roger=understood.
Of course, you always hear "Roger, Wilco, Over and Out" in terse military dramas. The additional verbiage means (Wilco) "Will Comply", (Over) "Message Complete--Reply Expected", and (Out) "Message Complete--No Reply Expected".