If you want to, say, put it in your .profile, then you might try the following setup.

SSH_ENV="$HOME/.ssh/environment"

function start_agent {
echo "Initialising new SSH agent..."
/usr/bin/ssh-agent | sed 's/^echo/#echo/' > "${SSH_ENV}"
echo succeeded
chmod 600 "${SSH_ENV}"
. "${SSH_ENV}" > /dev/null
/usr/bin/ssh-add;
}

# Source SSH settings, if applicable

if [ -f "${SSH_ENV}" ]; then
 . "${SSH_ENV}" > /dev/null
 #ps ${SSH_AGENT_PID} doesn't work under cywgin
 ps -ef | grep ${SSH_AGENT_PID} | grep ssh-agent$ > /dev/null 
|| {
     start_agent;
 }
else
  start_agent;
fi 

Finally, time to type a password. The last one of this session, maybe.
you#local$ ssh-add ~/.ssh/id_dsa
Need passphrase for /home/mah/.ssh/id_dsa (you@example.com).
Enter passphrase: