For the most part, yes. There hasn't been any statistical failures of the PGP algorithm to my knowledge. However, Windows likes to hide all sorts of files in all sorts of odd locations. Temp file directories, XP's autosystem backup or whatever it's called. Cookies, browser cache, etc, etc. I'm pretty familiar with most OS's and I don't feel comfortable saying that under a professional forensic examination, someone couldn't find something I didn't want them to find. Even using PGP.
If your using Windows 98 you might consider looking at
http://scramdisk.clara.net It's a pretty popular program with it's own newsgroup full of people discussing it. It's free, uses quick proven ciphers and even had the source code available at one time.
Another great program I found made by the same people as above is Diskcrypt. This is the Windows NT/2000/Xp version of the above software. It isn't free. They also make another product called Disk Crypt Plus Pack which encrypts your entire drive including the OS which does decryption in real time. I've been using both of these products for about a week and I'm very happy. I haven't done any testing yet to see if any information can be recovered from the drive but I feel pretty safe in recommending it. I do watch the newsgroup and there are plenty of people on there with more experience than me who don't have any complaints.
There are others on here who will recommend using Eveidence Eliminator to "clean" your drive. I don't recommend this. I've heard too many negative things to trust this company and thier "magical" product. There are other programs which do similar functions I think you'd be better off with.
Good luck.