The best thing is to get a pre-compiled version of GnuPG for your UNIX system.
Compiling GnuPG from source is not recommended for beginners.
Most Linux distributions today include GnuPG by default. To find out if this is the case, open a command prompt and type
If it tells you that you've got GnuPG 1.4.9 or some later version, then you don't need to do anything.
The various flavors of BSD UNIX have a common way of installing software.
Please see the instructions for MacPorts above.