For anyone else that is having errors getting a private key set up, here are the commands I used to get my private key set up.
I had started with CygWin using ssh-keygen, but when using a passphrase, I found that this output a private key with encryption that is not compatible with this library at this time. Instead, download the latest windows port of OpenSSL and install it. Then
run the following commands:
openssl.exe genrsa -des3 -out id_key 1024
Provide the password when asked. Then you can use ssh-keygen to output the public key of this file:
ssh-keygen -y -f id_key > id_key.pub
Copy this public key into to the authorized_keys file on your server and you should be all set.