MSysGit and ssh config. missing

What is probably missing is the user environment variable HOME.

If you launch your DOS session from the git-cmd.bat script packaged with msysgit, it should be defined, and you should see %HOME%\.ssh\id_rsa(.pub)

But from any other DOS windows, HOME isn’t defined by default (HOMEPATH or USERPROFILE are).
See also “Fix msysGit Portable $HOME location” as an illustration (but you shouldn’t need that workaround with recent versions of msysgit and its git-cmd.bat script)

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