Here is the output:
C:\Documents and Settings\ddd>gpg --gen-key
gpg (GnuPG) 1.4.10; Copyright (C) 2009 Free Software Foundation, Inc.
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.

Please select what kind of key you want:

(1) RSA and RSA (default)
(2) DSA and Elgamal
(3) DSA (sign only)
(4) RSA (sign only)

Your selection?

Check the 1) option - what's the difference between RSA and RSA?