mazzeo, you will get prompted for a file name - I usually just accept the default of id_rsa, but you can put any name you like in (useful if you are going to have more than one key).

Then the ssh-keygen program will prompt you to enter a passphrase - it is more secure to enter a passphrase that you will use along with your key to access a server over SSH. However in my example I left the passphrase blank (just press return) since the machine will be using this key unsupervised.

Hope that helps!