It may be helpful to think of the modulation process in terms of "information" and "carrier". Thus, the information and the carrier are two different things. The process of modulation alters (modulates) the carrier so that the resulting signal is a combination of the carrier and the information. For FM, it is the frequency of the carrier that is changed, according to the information that is used to modulate it. With demodulation at the receiver, the information can be extracted from the modulated signal that was provided by the transmitter.
The Navy has a document available that discusses these concepts in detail, with some examples. See http://www.fas.org/man/dod-101/navy/docs/es310/FM.htm