If you install it using your package manager (eg. apt install gnupg), it will take care of the dependencies for you.
If you want to compile it yourself, you need the libraries listed on https://www.gnupg.org/download/index.html.
Do I need other programs before or will gnupg.org direct me? I've been there to download but i don't have the other programs the tutorials seem to have, and not sure which ones or all I need.
YES! Absolutely change your OS to either Qubes/Whonix, or Tails, before you start creating a PGP key. Your Private PGP key won't be safe on Windows, so better off to start out the right way and create it on Tails or Qubes/Whonix first.
If you want to compile it yourself, you need the libraries listed on https://www.gnupg.org/download/index.html.
TIA