I'm using Ubuntu, here what I have done:

wget https://download.electrum.org/electrum-2.1.1.exe.asc
wget https://download.electrum.org/electrum-2.1.1.exe

Following a post from reddit
I did

gpg --keyserver pool.sks-keyservers.net --recv-keys 7F9470E6
gpg: requesting key 7F9470E6 from hkp server pool.sks-keyservers.net
gpg: key 7F9470E6: "Thomas Voegtlin (https://electrum.org) <thomasv@electrum.org>" not changed
gpg: Total number processed: 1
gpg:              unchanged: 1

gpg --fingerprint
-----------------------------------
pub   4096R/7F9470E6 2011-06-15
      Key fingerprint = 6694 D8DE 7BE8 EE56 31BE  D950 2BD5 824B 7F94 70E6
uid                  Thomas Voegtlin (https://electrum.org) <thomasv@electrum.org>
uid                  ThomasV <thomasv1@gmx.de>
uid                  Thomas Voegtlin <thomasv1@gmx.de>
sub   4096R/2021CD84 2011-06-15

gpg --verify electrum-2.1.1.exe.asc electrum-2.1.1.exe
gpg: Signature made Fri 24 Apr 2015 03:52:59 PM MDT using RSA key ID 695506FD
gpg: Can't check signature: public key not found


So what should I do next ? Thank