US Military slang for "yes." Previous to spring the NATO phonetic alphabet system, the word for the letter R was Roger (now Romeo in the current system). Radio operators used it as a shorthand in communications for "Received and understood," because they'd say that so often. This "official history" leaves out the underlying reason for saying, "Roger that." Roger was a well-known slang term for a penis (see the British cognate "todger"). Because military personnel love their penis jokes (joystick, anyone?), saying Roger let them "officially" say penis on their radios. As a verb, Roger meant using your penis (i.e., to fuck). So saying "Roger that" allowed radio operators to simultaneously relay that they heard an order and also that it was the stupidest thing ever.
HQ: We need you to take that hill, even if you lose your entire platoon doing it!
Radio: Roger that, HQ.