GNU Privacy Guard is the GNU project that implements the GNUPG standard. With this software you can generate a key pair (public and private) to digitally encrypt and sign documents, e-mails and a lot more.
First of all, after installing the software, you may want to add the binary folder to your system PATH variable since this is exclusively a command-line tool.
Yes, there is no GUI nor pretty graphics/icons at all. You will need to read carefully every program output and double-check your data input (ex. when generating new keys).
The first time you may need to generate a new key, that's a simple task: just type the following command:
...and follow the steps (if you don't know what the options means, just hit "enter" and follow the next step).
Once you generate your own key you can use it right away, for example, by generating a key file using:
gpg --export -a -o mykeys.gpg [UID]
The download offered here corresponds to the latest stable release, but if you want to get some other features (like support for S/MIME encryption and signatures) you may try the 2.x project branch.