The first thing we'll do is generate a pair of keys. To do this run:
gpg --gen-key
You will be guided through the process of generating the key pair. Your keys will be associated with your name and email address.
The private key is protected with a password. Use a strong password, and store that password somewhere secure (password manager and/or physical safe).
Your public key is just that: public. This is the key you can share with anyone.
The private and public keys are generated as a pair, which means they can only be used with their counterpart. The public key, which can be distributed to others, is used to encrypt messages intended for you. So when Alice wants to send you a message, she'll encrypt the message using your public key. And only the accompanying private key can decrypt that message.
At this point, Alice should follow this step and generate her key pair as well.