PGP is a freely-distributable implementation of Public Key encryption, particularly well-suited for secure email conversations across the Internet.
Common security problems with the Internet, such as the forging of messages and their interception whilst in transit can be effectively combatted with PGP.
If you don't know why you should want to use PGP, just think for a moment. We use our signatures on letters and forms in the real world, to authenticate the document. PGP can digitally sign a message, and unlike physical signatures, you cannot forge a PGP signature.
And when sending letters to friends, we do not put personal messages on post-cards, but seal them up in an envelope to keep the contents away from prying eyes. PGP can encrypt a message such that only the intended recipient can ever read it.
So, you want to do this PGP thing? Good for you! First, you'll need a copy of PGP itself, then you will probably want a front-end program that makes it all pretty and button-pressingly easy.
Although you should get your code from a well-known public source, I have stored a couple of items on this Guernsey.Net server, to make it quicker for local users. If you are not a local user, please go get your copy elsewhere, particularly bearing in mind that if you are from the US, it is probably not legal for you to use the International PGP distribution anyway. PGP263i here is the 32-bit version for Windows 95, and PGPEudra is a very useful front-end for the Eudora email package. Personally, I'm using Pronto Secure email from Commtouch. Excellent.
Please take some time to browse the more general public information sources on PGP, starting
perhaps with
Yahoo's
PGP category, or

http://www.crypto.com