Your trading partner has both a public key and private key. Under normal circumstances, the public key is used by you to encrypt files that your trading partner decrypts with their private key. A public key is made widely available so that anyone can send encrypted content to that person.
The keys are an asymmetrical pair in that you can not decrypt the message with the key you used to encrypt it. Otherwise everyone with the public key could decrypt message.
If your trading partner has sent you an encrypted message and they have said they have used "RSA" or "PGP" then they have used what they consider to be your public key to encrypt the message and expect you to use your private key to decrypt it. If you don't have a key pair, then you need to tell them they may not have encrypted it with any key you currently have a copy of.
RSA is the initials of the people who (publicly) discovered the mathematical qualities of large prime numbers that allows for a key that encrypts a message to be different from the key that can decrypts the message. The computer algorithm to create these keys and their format is commonly called RSA.
PGP is a software encryption suite initially created in the 1990s that can perform both asymmetric encryption (such as using RSA key pairs) and symmetric encryption (which is faster or "stronger" but less convenient). In practice, PGP or similar software will attempt to hide away the complexity of the underlying process - which is pretty complex.
Whilst RSA private keys are often encrypted with a password in case someone steals the computer they are on, RSA public keys are not encrypted otherwise no one could use them. The key that encrypted your message would not itself have been encrypted; although your software may have asked for a password if it stored public and private keys in the same place. However it could have also asked for a password if you were actually using symmetric encryption which does not necessarily use or need asymmetric RSA keys.
When PGP or similar tools allow you to encrypt a file for someone, they will ask for a public key and symmetric algorithm (AES, Blowfish, TEA, etc) as asymmetric is very slow and unsuited for large messages - so PGP creates a random symmetric key, encrypts the message with that and then encrypts the symmetric key with the asymmetric public key.
So you will need to check that you are using the correct private key to decrypt the file. Depending on the software tool, it may not tell you if you entered password protecting the private key correctly.