A GEDCOM is a file that holds genealogy information. Normally, if a person has a GEDCOM file, they are in it, as are their family members, their parents, and their parents, etc. Usually we don’t work with GEDCOM files directly.
Every genealogy program I know of can at least open GEDCOM files. If you don’t have a GEDCOM file:
Windows- Download RootsMagic which has a free version to get you started. My Heritage also makes Family Tree Builder which is free. Personally, I use Family Tree Maker, but that is going to cost you about $30.
Read through the Getting Started section of familysearch.org. It will definitely point you in the right direction. To get a GEDCOM file of the information you research, you can export it from your genealogy program (it will vary for each program).