Speakers don't "pick up", they output sound.
Subs are only good for very low frequecies. Mids out put the "middle" frequencies, and tweeters output the high frequencies.
No one speaker will do them all well. Bigger speakers (called drivers) are better for low frequencies, and smaller drivers are better for high frequencies.
Generally, you want a component set of speakers; which will come with a passive crossover, a tweeter and a woofer (mid). You run a pair of RCA cables from your Head Unit to stereo amplifier, then you run a pair of speaker wires from the amplifier to the crossover. Then from the crossover it splits the signal into highs and lows. You run a speaker wire from the crossover to the tweeter and another speaker wire from the crossover for the woofer. Thesse speakers should go in your doors.
Then you run another RCA cable from the HU to the amplifier for the subwoofer, which has a built in crossover (called an active crossover, because it crosses off the frequencies before the amplifer) which will filter out the high frequencies. This is called a Low Pass Filter, which only allows low bass frequencies to reach the subwoofer. Then you run a speaker wire from the sub amplifier to the subwoofer. The subwoofer should be installed in a box made for it. The sub box needs to be made of a very dense rigid material, like 3/4 inch MDF (medium density fiber board), and the internal size, called "volume" is determined by the type of subwoofer. The easiest is to either buy or make a sealed box of the size recommended by the manufacturer of the subwoofer. Usually about 1 -2 cubic feet for each 12" sub.