The ssh-keygen command wasn't executed correctly (or you gave the wrong input).
ssh-keygen -t dsa
Enter file in which to save the key (/home/user/.ssh/id_dsa):
Enter passphrase (empty for no passphrase):
Enter same passphrase again:
Your identification has been saved in /home/user/.ssh/id_dsa.
Your public key has been saved in /home/user/.ssh/id_dsa.pub.
The key fingerprint is:
After you start the ssh-keygen -t dsa
command you do not have to enter anything, just press enter/return until the normal prompt returns.
If all goes well there should be (at least) 2 files in your .ssh directory: id_dsa
Hope this helps.