File Share Encryption

I purchased PGP and downloaded it to my laptop.  It did NOT ask me to create a password.  My concern is if I turn off my computer, I will be required to enter a password when I turn it back on to access my data.  If I don't need a password, how is PGP protecting my information on my computer?

You can obtain the PGP Desktop User's Guide here.  It provides extensive information on the PGP components and their usage. 

It sounds like you are interested in the Whole Disk Encryption?  Unless you have used PGP Desktop to encrypt your hard disk, there is no need to enter a PGP passphrase to boot into Windows.  When you do the encryption, you can use a separate passphrase for access, or you can select the option of using the Windows passphrase/password to both boot your computer and be logged into Windows.