Almost every program you install will come with documentation. gpg has a manual - just type "man gpg" in a terminal, or, if you use KDE, open konqueor and type man:/gpg in the address bar.
The manual is a little dry and reference like, so if you want more of a tutorial, google will tell you. I asked it "gnupg documentation", and it found me
this link, which I expect is more helpful than the manual page - at least as a primer.