FileVault2 is not compatible with PGP WDE. But if you disable filevault then it is possible to use PGP WDE on an existing bootcamp installation. What you need to do is:
1) Install PGP WDE/Desktop on Mac OSX first (I would make sure that it's 10.2 MP2 or newer for compatability reasons)
2) Boot into the Windows bootcamp partition and install PGP Desktop/WDE 10.2 MP2 or newer there as well (it has to be the same version/build number as the one in Mac OSX)
3) Reboot into the Mac OSX side
4) Encrypt the whole disk in Mac OSX
5) This will encrypt the mac and the windows partititions
6) It will add bootguard into the process for the Mac OS X and the Windows partitions so that you will be prompted for authentication to the disk when you boot either partition