If it all sounds a bit confusing, no need to worry -- PGP handles all of the tricky details for you. A Key Generation Wizard will create a key pair for you composed of a public key and a private key. You can then use a public key server to send out your public key to others as well as to retrieve the public keys of your friends.
Additionally, PGP features Automatic Key Retrieval which will contact a public key server automatically when you attempt to send a message to a PGP user without knowing their public key. This is all you need to do in order to begin sending and receiving encrypted e-mail -- it's that simple.