For me (windows xp, a reasonably new installation) when generating ssh keys via mingw32, the .ssh directory did not exist, that I saved the keys.
Instead of creating ssh-keygen, they were placed in the root of the user directory (C: \ Documents and Settings \).
This gave a permission denial error (public key).
A simple solution...
Move the key files to the .ssh directory! (by the way, this seemed to be created when I said yes to continue connecting after the authenticity of the host .... message)
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