When you launch the GPA first time you get the prompt suggesting key generation.
If you have already made the keys, GPA opens in to the clipboard mode. You can create new keys in keyring manager (Windows > Keyring Manager).
Fill out the details as requested.
It is recommended to create backup of the. If you lose your key you are unable to encrypt or decrypt your messages and files after that.
Select password for the key.
And then select secure location for the key.