You can generate a key in Linux using the ssh-keygen command. You should run it in the command line. You will be asked for a file in which the key should be saved to and for a passphrase (password) for the key:
user@localhost: ssh-keygen -t dsa
Generating public/private dsa key pair.
Enter file in which to save the key (/home/user/.ssh/id_dsa):
Enter passphrase (empty for no passphrase):
Enter same passphrase again:
Your identification has been saved in id_dsa.
Your public key has been saved in id_dsa.pub.
The key fingerprint is:
This will create a private key written to /home/user/.ssh/id_dsa and a public key written to /home/user/.ssh/id_dsa.pub. The passphrase is used to protect your key. You will be asked for it when you connect via SSH.