Taking my private SSH key off my Linux box to use on my Windows machine, I get the following error trying to make the same connection:

    Unable to use key file "C:\Program Files\PuTTY\" (OpenSSH SSH-2 private key)

After several fruitless Google searches, it turns out you have to import the key into PuTTY’s native format using PuTTYgen. Click Load in PuTTYgen and select the file you saved off your Linux box.

After it's loaded you should get a message stating that key was successfully imported.

Click save private key and you are good to use the new file as your SSH key in PuTTY under Connection > SSH > Auth.