Cygwin cannot create .ssh

After some trial and error, I have found the solution(s) to the problem.

Automated solution (for the hasty)

1. Go to (your-MinGW-installation-directory)\msys\1.0.
   (in my case, which is also the default, that would be C:\MinGW\msys\1.0).
2. Run msys.bat.

This will start the MinGW Shell, which will create the path
(your-MinGW-installation-directory)\msys\1.0\home\(your-username)
automatically and ssh should now work just fine.

Manual solution (basically create the path required by hand):

1. Go to (your-MinGW-installation-directory)\msys\1.0.
2. Create a home directory.
3. Inside the home directory create a directory with the same name as your username.

So, now the path
(your-MinGW-installation-directory)\msys\1.0\home\(your-username)
is available and ssh should work just fine.

Here is what you should get if everything went well:

C:\Users\myusername>ssh username@host
The authenticity of host 'host (host-ip)' can't be established.
RSA key fingerprint is fingerprint.
Are you sure you want to continue connecting (yes/no)? yes
Warning: Permanently added 'host,host-ip' (RSA) to the list of known hosts.

Note
Since the MinGW Shell could create the path needed (without Windows UAC nagging about a thing), I guess this has nothing to do with persmissions. It is probably an omission of the MinGW installation.

The format of ~/.ssh/known_hosts is defined by OpenSSH. Other software might either call OpenSSH (the ssh command), or might have its own implementations that aren't necessarily 100% compatible.

The OpenSSH known_hosts format is described in the sshd(8) manual page, under "ssh_known_hosts file format". It says that it's a text file with one line per host–key pair:

Each line in these files contains the following fields: markers (optional), hostnames, keytype, base64-encoded key, comment. The fields are separated by spaces. […] Hostnames is a comma-separated list of patterns (‘*’ and ‘?’ act as wildcards); each pattern in turn is matched against the host name. […] A hostname or address may optionally be enclosed within ‘[’ and ‘]’ brackets then followed by ‘:’ and a non-standard port number.

To automatically add a key for a new host, just SSH to it.

To manually add a key for a new host, 1) open the known_hosts file in your text editor and 2) add the key for a new host, following the same format. (The key must match the host you're connecting to. You can query a host for its key using ssh-keyscan -t <type> <address>.)

To add a key for all hosts, use a * pattern as the hostname, which will match all hostnames and addresses. To add a key for all hosts on a specific port, use [*]:8001 as the hostname.