To encrypt a message using PGP, you need the PGP encryption package, which is available for free from a number of sources. The official repository is at the Massachusetts Institute of Technology.
PGP is such an effective encryption tool that the U.S. government actually brought a lawsuit against Zimmerman for putting it in the public domain and hence making it available to enemies of the U.S. After a public outcry, the U.S. lawsuit was dropped, but it is still illegal to use PGP in many other countries.