Step 1: Install GnuPG or Kleopatra
On Linux, install from your package manager: apt install gnupg2 or brew install gnupg. On Windows and macOS, download Kleopatra from gpg4win.org. Kleopatra bundles GnuPG with a GUI, which is easier for key generation than the command line if you have never done this before.
Verify the signature on the Kleopatra installer before you run it. This sounds paranoid, but compromised key management tools are how real attacks happen. The Kleopatra developers sign every release. One extra minute of verification saves you from re-doing this entire process.