PGP is a program that encrypts and decrypts files. Here is a Software Knowledge Base article that describes how to download and unpack an AIX (PASE) version of PGP within i5/OS. Search for "pgp" within the Software Knowledge Base (include the double quotes in your search.) Look in the Software Knowledge Base results. You will need an IBM ID to view the document, which is reference number 86257062004C4C24.
An alternative to PGP might be the GNU GPG software.