Does PGPDesktop support OpenBSD or e.g. Fedora, or can I only encrypt my whole hard drive when I use Windows?
The install process of most major linux distros supports enabling full disk encryption. There are several different systems for doing this depending on the filesystem and distro.
That said, it is much more common to just encrypt home directories. This is where almost everything that matters is anyways and make the system a lot easier to maintain or recover in the even of problems.