Verify PGP Signature



I'm new to this verifying of a program with the pgp signature. I have seen dban's signature on the website, but how do i compare it with the program itself? Is there a .sig file somewhere to compare against? I'm somewhat confused.

I have PGP Freeware installed

Thanks for all help!
So, you simply download the signature file from the same place(server) that you download the program - then verify it is the same as the public signature?
I was thinking the signature was somehow part of the program, how does downloading the two files seperately from the same place verify that the program hasn't been bugged or trojaned? Confused...
An explanation, links, anything you could give me would be great!

Thanks for the continued support,