Option + – (hyphen or minus sign) creates an en dash on the Mac. On Windows the shortcut is Alt + 0150.
Option + Shift + – (hyphen or minus sign) creates an em dash on the Mac. On Windows the shortcut is Alt + 0151.
For more information about dash usage, click here. http://en.wikipedia.org/wiki/Dash

On Windows same shortcuts works as on Mac, just replace Option with Alt.