Run the downloaded installation file, which should have a name similar to GPG_Suite-2015.06.dmg and should be located in your download folder. That will display the following window, where you should press Install.
Press Continue once the installation window opens.
Select your installation location and press Install.
At this point, the program is installed. We would advise checking out the Quickstart Tutorial.
In your launchpad, find GPG Keychain and open the application.
This is the GPG Keychain main window, where you can create new Certificates, import certificates, and export your public keys. The next step is to generate a Certificate, which will be covered in the next tutorial.