The detection and manipulation of single electron spins is fundamental to future technologies, including high density information storage and quantum computation. Electron spin resonance (ESR), also known as electron paramagnetic resonance (EPR), spectroscopy is a conventional method to study materials with unpaired electrons by employing microwave to excite these free electrons in static magnetic field. The ESR spectrometer has a typical detection limit of 107 spins. And scanning tunneling microscope (STM), since its invention in 1981, has been proven as a powerful tool in surface science due to its atomic resolution in imaging metallic surface. By combining the advantages of both techniques, we can expect to realize the detection of individual spins. This nascent and promising technique is called electron spin resonance scanning tunneling microscopy (ESR-STM). The basic principle of the ESR-STM is that in a static magnetic field, the precessing electron spin will induce a radio-frequency (RF) component at the Larmor frequency in the tunneling current. The amplitude of the RF component related with the precession of electron spins ranges is estimated to be in the pA regime, which is close to that of the intrinsic noises in the system, including shot noise and thermal noise. Therefore, this thesis begins with a brief introduction to the basic knowledge of noise and several fundamental noise sources in the tunnelling junction, followed by experimental methodology and possible theoretical explanations of ESR-STM. In chapter 2, I focus on the construction of the ESR-STM based on a commercial Omicron low temperature (LT) STM in our lab. Detailed technical solutions are presented to target specific instrumental issues, including the electromagnetic interference (EMI) isolation, the elimination of ground loops, the replacement of unshielded wires, the design of a buffer amplifier with internal impedance matching network, and the installment of the high-end cryogenic RF amplifiers and the spectrum analyzer. Then the performance of the constructed ESR-STM concerning the basic operation of STM imaging and sensitivity level in RF band are tested. The sensitivity is about 1.0 pA√Hz at 200 MHz at 78 K and be further improved by 4 -- 5 times through cooling down to 4.3 K. In chapter 3, I proceed to the preparation of ESR-STM samples, namely, nanostructures which possess unpaired electrons, such as, the individual Ho atoms on insulating MgO films, the free radical DPPH, and the particular point defect on oxidized silicon surface. In particular, A reliable approach is developed to fabricate the MgO thin films exhibiting novel surface polarity by controlling the Mg concentration during reactive deposition. Finally, some preliminary ESR-STM measurements on the fabricated magnetic nanostructures are performed with the newly-built set-up, however, seemed not to yield convincing evidences of spin-related RF signals. Nonetheless, the surprising observations of a series of RF signals associated with the striped STM image and the pronounced peaks probably related with the coated noble metal nanoparticles on the STM probe tip independently confirm the high sensitivity of our set-up in RF band, which makes it a powerful tool in exploring the dynamic physical processes in nanosecond regime at the atomic or molecular scale.