You get that error because you don't have the public key of the person who signed the message.
gpg
should have given you a message containing the ID of the key that was used to sign it. Obtain the public key from the person who encrypted the file and import it into your keyring (gpg2 --import key.asc
); you should be able to verify the signature after that.
If the sender submitted its public key to a keyserver (for instance, https://pgp.mit.edu/), then you may be able to import the key directly from the keyserver:
gpg2 --keyserver https://pgp.mit.edu/ --search-keys <sender_name_or_address>