From the client:
mkdir ~/.ssh chmod 700 ~/.ssh ssh-keygen -t rsa
By default the key files (id_rsa = private, id_rsa.pub = public) will be created here: ~/.ssh/
sftp the id_rsa.pub file to the remote machine, and drop it in ~/.ssh.
If you’re using OpenSSH on the remote machine, do this to append the file to the authorized_keys2 file (cd into your .ssh dir):
cat >> authorized_keys2 < id_rsa.pub