We had a user that was having some problems with the keys generated by GPG4Win 2.1.0. Here's what we found out.
In order to create a proper "key-pair" for GPG4Win, you will do the File -> New Certificate -> (personal cert). When the window appears that asks you for your name, email and a comment, click on the "Advanced" button. In this window select "DSA" and make sure that "+ Elgamal" is checked. "OK" that window and proceed with the wizard to create your keys.
Just remember that you will need to export both the Public and Private keys in order to add them to SecuMail. When you need to send a key to someone else, ONLY send them your Public key.