I have been following these instructions:

Using putty with OpenSSH

This is my config file in c:\cygwin\etc:

# $OpenBSD: sshd_config,v 1.77 2008/02/08 23:24:07 djm Exp $

# This is the sshd server system-wide configuration file. See
# sshd_config(5) for more information.

# This sshd was compiled with PATH=/bin:/usr/sbin:/sbin:/usr/bin

# The strategy used for options in the default sshd_config shipped with
# OpenSSH is to specify options with their default value where
# possible, but leave them commented. Uncommented options change a
# default value.

Port 40101
#AddressFamily any
#ListenAddress 0.0.0.0
#ListenAddress ::

# Disable legacy (protocol version 1) support in the server for new
# installations. In future the default will change to require explicit
# activation of protocol 1
Protocol 2

# HostKey for protocol version 1
#HostKey /etc/ssh_host_key
# HostKeys for protocol version 2
#HostKey /etc/ssh_host_rsa_key
#HostKey /etc/ssh_host_dsa_key

# Lifetime and size of ephemeral version 1 server key
#KeyRegenerationInterval 1h
#ServerKeyBits 768

# Logging
# obsoletes QuietMode and FascistLogging
#SyslogFacility AUTH
#LogLevel INFO

# Authentication:

#LoginGraceTime 2m
PermitRootLogin no
StrictModes yes
MaxAuthTries 3

RSAAuthentication no
PubkeyAuthentication yes
AuthorizedKeysFile .ssh/authorized_keys

# For this to work you will also need host keys in /etc/ssh_known_hosts
RhostsRSAAuthentication no
# similar for protocol version 2
HostbasedAuthentication no
# Change to yes if you don't trust ~/.ssh/known_hosts for
# RhostsRSAAuthentication and HostbasedAuthentication
IgnoreUserKnownHosts yes
# Don't read the user's ~/.rhosts and ~/.shosts files
#IgnoreRhosts yes

# To disable tunneled clear text passwords, change to no here!
PasswordAuthentication yes
PermitEmptyPasswords no

# Change to no to disable s/key passwords
ChallengeResponseAuthentication no

# Kerberos options
#KerberosAuthentication no
#KerberosOrLocalPasswd yes
#KerberosTicketCleanup yes
#KerberosGetAFSToken no

# GSSAPI options
#GSSAPIAuthentication no
#GSSAPICleanupCredentials yes

# Set this to 'yes' to enable PAM authentication, account processing,
# and session processing. If this is enabled, PAM authentication will
# be allowed through the ChallengeResponseAuthentication and
# PasswordAuthentication. Depending on your PAM configuration,
# PAM authentication via ChallengeResponseAuthentication may bypass
# the setting of "PermitRootLogin without-password".
# If you just want the PAM account and session checks to run without
# PAM authentication, then enable this but set PasswordAuthentication
# and ChallengeResponseAuthentication to 'no'.
#UsePAM no

#AllowTcpForwarding yes
#GatewayPorts no
X11Forwarding yes
X11DisplayOffset 10
#X11UseLocalhost yes
#PrintMotd yes
#PrintLastLog yes
#TCPKeepAlive yes
#UseLogin no
UsePrivilegeSeparation yes
#PermitUserEnvironment no
#Compression delayed
#ClientAliveInterval 0
#ClientAliveCountMax 3
#UseDNS yes
#PidFile /var/run/sshd.pid
#MaxStartups 10
#PermitTunnel no
#ChrootDirectory none

# no default banner path
Banner /etc/banner.txt

# override default of no subsystems
Subsystem sftp /usr/sbin/sftp-server

# Example of overriding settings on a per-user basis
#Match User anoncvs
# X11Forwarding no
# AllowTcpForwarding no
# ForceCommand cvs server

I keep getting "Server refused our key"

Any Ideas?

Regards