Your method should work fine on a Mac, but on Windows, two additional steps are necessary.
- Create a new folder in the desired location and name it ".ssh." (note the closing dot - this will vanish, but is required to create a folder beginning with ".")
- When prompted, use the file path format C:/Users/NAME/.ssh/id_rsa (note no closing dot on .ssh).
Saving the id_rsa key in this location should solve the permission error.