Are you running msysgit, or some other form of Windows git installation? msysgit is only one possible way to run git on Windows but it's probably also the simplest one. It's also the way recommended by the git website at http://git-scm.org/ .
If you are using msysgit, then you need to run the command in Git Bash, not in a standard Windows command line prompt. Git Bash is a prompt that is installed for you by msysgit, and is basically the most common Linux command line shell (bash) packaged for Windows to facilitate command line usage of git. msysgit should also install the ssh-keygen program in a place where it is accessible from Git Bash, but not necessarily from your usual Windows command line prompt.