After some configuration problems - really related to SSH keys - I successfully developed Rails / Sinatra applications on Windows and deployed them to Heroku. It works great.
Creating keys was a problem - I did not record notes, but I think I generated keys with a Git GUI in which you can create an OpenSSH key. This key file is stored in ~/.ssh (therefore inside C:\Documents and Settings\<account>\.ssh id_rsa ) as id_rsa with the accompanying id_rsa.pub . Since I need a separate key for use in Heroku, I renamed both the key pair files to id_heroku / id_heroku.pub .
Finally, in the same folder, I created a config file. This file contains
Host heroku.com Hostname heroku.com Port 22 IdentitiesOnly yes IdentityFile ~/.ssh/id_heroku TCPKeepAlive yes User user@example.com
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