I have heard and understood your previous transmission... AND will comply with whatever directive you have just given me

Although a recognised phrase which can be heard both in regular conversation as well as by those attempting to emulate military or pseudo-military radio traffic in actual military traffic it is quite incorrect. Both ROGER and WILCO are what are called "pro words." Basically, this is a short list of very recognisable words or abbreviations that are shorthand for a variety of things.

Roger, for example, means "I have heard and understood your previous transmission." That's quite a mouthful, and you'd probably get bored saying it over and over--because in radio traffic, you're almost required to continually state that you are receiving correctly because of signal degradation, external noise, and any number of factors.

Roger also means "copy", "heard you" on the radio in the military and civilian aviation. This usage comes from the letter "R" of "received" which in the old phonetic alphabet was called "roger" (now called Romeo) in radio alphabets (such as the Joint Army/Navy Phonetic Alphabet). It is commonly followed by the word "that" to form the common aviation phrase "Roger That". It is also often shortened in writing to "rgr".

WILCO, on the other hand, means, "I have heard and understood your previous transmission, and will comply with whatever directive you have just given me." As you can see, WILCO neatly contains the meaning of ROGER--and on communications system that could (conceivably) go out at any time, redundancy in one's speech is a big no-go. Get out all the information you need. If the guy on the other end didn't get it, he'll tell you so. So, WILCO in fact does not mean "I will comply" as most think, that distinction goes to the phrase "wilco" which is formed from the phrase "will comply".

Got it?