I installed Git for windows from here, but though it seems to work pretty well now, there are still a couple of rough edges. One is that when I installed it I chose to use PuTTY / Plink for SSH rather than the built-in openSSH, since I already have PuTTY set up with my private key and have registered the public key with GitHub.
However, when I tried to use git to connect to a remote server it died with:
No supported authentication methods available
This happened even though I registered my SSH keys (public and private) with the Git GUI application, which seemed to want them in the .ssh directory under my home directory.
The catch is that if you use PuTTY, the SSH keys settings in the Git GUI aren’t used and are a complete red herring. What you need to do is run Pageant and register your key with that. This is described in more detail here.