Step 2: Install GPG on your Operating System
I got GPG working on Mac OS X without too much trouble. I used the instructions and downloads at http://macgpg.sourceforge.net/ and summarized the process below. If you're on OS X, open that link in another window and get ready. For other operating systems, you can check the links on http://www.gnupg.org/download/.
Now, start downloading and installing! I've adapted the information from the Mac GPG FAQ, so you can also go there for more details. Here are the things I downloaded (you should got to the downloads page and get the latest):
Once the installation is complete, open a Terminal window and type gpg, then hit [Return]. My installation gave me a "Go ahead and type your message ..." which I think means that GPG was up and running, so I ctrl-C'd out of that and closed the Terminal window.
Next, I installed GPG Preferences. That put a GPG icon in my System Preferences pane; I didn't change anything.
Finally, I installed GPG Keychain Access. This was easy: just unzip the ZIP file and drag the application into your Applications folder.
By the way, you can also do all of this from the command line. Here's a great tutorial for that.
Next up: Set up Gmail and start sending seeekrit messages!