An SSH-Key is a key pair for use in asymmetric cryptosystems. It can be generated with the program ssh-keygen, see man ssh-keygen for more details. An example for its use:

msp@launchpad:~> ssh-keygen -t dsa
Generating public/private dsa key pair.
Enter file in which to save the key (/home/msp/.ssh/id_dsa):
Created directory '/home/msp/.ssh'.
Enter passphrase (empty for no passphrase):
Enter same passphrase again:
Your identification has been saved in /home/msp/.ssh/id_dsa.
Your public key has been saved in /home/msp/.ssh/id_dsa.pub.
The key fingerprint is:
9f:1c:23:48:62:8c:e7:92:40:13:d5:c5:f5:79:e0:bd msp@launchpad

The filename prompt for the key can be skipped with return. The passphrase is a symmetric key that is used to encrypt your secret key; if you write something there, you have to enter that same password every time you use your key, e.g. when you log in with 'ssh' on a machine where the key is needed. The file '.ssh/id_dsa' is your secret key, you must never give this file to anyone else. '.ssh/id_dsa.pub' is your public key, this is the one you can give to others so it can be used for cryptography.