Download and install PuTTY on your computer.
After installing putty, run PuTTYgen from start menu
You may customize Parameter at the bottom. But generally default values are appropriate.
Now click on Generate and move the mouse on blank area to complete key generation.
Save private key in save place. Noted that you may or may not use Key passphrase.
Close PuTTYgen tools.
Connect to server with Private Key
Put hostname or IP in session.
Go to Connection > SSH > Auth and browse private key.
Now you will be prompted Login as