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