Download and install gpg4win PGP for Windows
Download Enigmail for Thunderbird
In Thunderbird, pull down menu Tools
Select Extentions
Click the INSTALL button
Point to the location of the enigmail-something.xpi you just saved to your hard drive.
Tbird extensions should list Enigmail and indicate it will be installed on next stop and start of Tbird.
Close Tbird and make sure there's no Thunderbird process still running such as a tray icon or stray compose window.
Check the task manager (CTRL-ALT-DEL one time, processes tab) and end task on Thunderbird if necessary.
Start Thunderbird
You should now see a new menu item "Open PGP" - click it
If you are offered a wizard during any of this process - use it to create your key pair.
Otherwise select Key Management and then Generate new key pair from the Open PGP pull down menu.
I chose the pgp.mit.edu server to publish my public key on.