Most likely, the file wasn't encrypted to a key you possess.
If you run "pgp --list-keys" it will show you all the keys in your keyring. Some of these are your prviate keys, and the others are the public keys of people you communicate with.
Run "pgp --verify file-to-verify" and it will tell you the KeyID of the recipient key. The file should be encrypted to an encryption subkey. You'll see a message like
file.pgp:verify (3144:data is encrypted to unknown ID 0x73357D11)
file.pgp:verify (1080:no private key could be found for decryption)
in which case you have no idea to whom the file was actually encrypted. Or, you might see something like
file.pgp:verify (3093:data is encrypted to subkey ID 0x73357D11)
file.pgp:verify (3044:subkey ID 0x73357D11 belongs to 0xCF73E89C Jon Test <
jt@eng.pgp.com>)
file.pgp:verify (1080:no private key could be found for decryption)
This tells you that you at least have the corresponding public key in your keyring.