Install the OpenSSH utility on the machine which will instigate a secure connection request, by downloading the source files and copying them to (say) C:\ OPENSSH.

Open a command console (e.g. Windows cmd), and run the following command, from C:\ OPENSSH:

ssh-keygen -b 2048 -t rsa
Enter file in which to save the key: test_key
Enter passphrase: [create a passphrase, or leave blank for no passphrase]

Two files will be created:

test_key
test_key.pub

The test_key.pub file contains the public key (which can always be derived from the private key), and which can be provided to a third party to secure an SFT connection, for example.