OpenSSH keygen problem on Windows 2003

Now that I have OpenSSH working correctly on our Windows 2003 server the vendor now wishes for an RSA key for logging on. When I log on as the user and type ssh-keygen -b 1024 -t rsa I get the first prompt asking where I'd like to keep the file. If I simply take what it gives me and hit Enter nothing happens. When I look at the home directory for the user I see that an .ssh directory has been created with the user being the owner and no other permissions.

I've tried making the user a member of the admin group just to test for permissions, create the ssh directory myself thinking the .ssh is an illegal name for a Windows system, and tried a different path without any luck. Has anyone else gotten this to work?
mklippelAsked:
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theras2000Commented:
I tried it and got just the same as you.  I tried different users and even tried changing my default /home folder (as the readme.txt file explains), but nothing.
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mklippelAuthor Commented:
Just what I need. The last piece to getting this project put to bed and this pops up.
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theras2000Commented:
Mine is playing up, so I'll reinstall and try again tomorrow.  In the meantime, I was looking at this manual
http://www.openbsd.org/cgi-bin/man.cgi?query=ssh-keygen&sektion=1 and I thought that perhaps verbose mode (-v -v -v) might help.  Also, perhaps a filename (-f) is required.
Here's another Windows but old guide that may give you some ideas http://inside.mines.edu/~gmurray/HowTo/sshNotes.html

And here's another.  I really have no idea what I'm doing, so I'm just throwing pages at you ;>
http://hkn.eecs.berkeley.edu/~dhsu/ssh_public_key_howto.html

Actually this last one looks exactly like our environment.  Here's to hoping.
https://moveitsupport.ipswitch.com/moveit/doc/en/MOVEitDMZ_SSH_SpecificClients_OpenSSHWindows.htm
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theras2000Commented:
Hey mklippel.  I still can't get it working via putty ... but I managed to create the keys just using the local machine's command prompt.  It was instantaneous.  So I don't know what the ramificatios of this are, but I assume it'll be fine to create them this way.
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theras2000Commented:
So I basically just followed the example in part 3 of https://moveitsupport.ipswitch.com/moveit/doc/en/MOVEitDMZ_SSH_SpecificClients_OpenSSHWindows.htm, except doing it from the server's command prompt.
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