you can also generate a private key yourself using vanitygen:
https://bitcointalk.org/index.php?topic=25804.0keep in mind youll have to open the program from the command line, you can't just double click it from the file explorer.
just import the privkey to your wallet once its 'generated.'
Completely correct... Just a quick addition: try to use oclvanitygen, it uses your GPU and is a lot faster