I have just installed a fresh MinGW installation on Windows 7 64bit using the Graphical User Interface Installer (the recommended approach) following the instructions given here and keeping the default options (i.e. installation in C:\MinGW) - hopefully without missing any steps or messing things up in any way.

However, when running the ssh command, I get the following error:

C:\Users\Diablo>ssh username@host
Could not create directory '/home/username/.ssh'.
The authenticity of host 'username@host (host ip here)' can't be established.
RSA key fingerprint is (fingerprint here).
Are you sure you want to continue connecting (yes/no)? yes
Failed to add the host to the list of known hosts (/home/username/.ssh/known_hosts).

So, I basically have to confirm the connection every time.
Why does this happen and how do I fix it?