I downloaded GNUPG from http://www.gnupg.org but when I unzippped, I found only the source files? Is there a Windows version og GNUPG? From where to download the GNUPG software itself? Secondly, is GNUPG secure as PGP?
Did you scroll down on that page? Half way down in the section called "Binaries", there is a line "GnuPG 1.2.1-1 compiled for Microsoft Windows." which has two direct download links (FTP & HTTP) at the end of the line. (I didn't want to copy their direct download links here as they are available there.) There is not an installer included, but, the readme file says how to install it. As for how secure it is, while NAI owned PGP and did their best to kill it off, many people thought GPG was a much better alternative. The fact that the source is open and available is thought to be a great asset.