If you prefer to use a GUI to create the keys
- Use Putty Gen to generate a key
- Export the key as an open SSH key
- As mentioned by @VonC create the .ssh directory and then you can drop the private and public keys in there
- Or use a GUI program (like Tortoise Git) to use the SSH keys
For a walkthrough on putty gen for the above steps, please see http://ask-leo.com/how_do_i_create_and_use_public_keys_with_ssh.html