In order to generate a key on Windows using the PuTTy client first of all you should be aware that there are actually two keys. The first is the private key and the second is the public key.
For the generation of these two keys you will have to dowload the PuTTy key generator. You can do that from the following URL:
http://the.earth.li/~sgtatham/putty/latest/x86/puttygen.exe
When the download process is finished you should open the application. Right after the application starts the interface will be displayed.
In order to start the procedure of generating keys you should choose the option SSH2-RSA from the parameters section and press the button “Generate”.
You will see a progressbar which is not moving. The reason for the not moving progress bars is because you need to move the mouse over the Key interface below the progressbar.
When the progressbar is full the key wil be generated. Next you will have to enter a comment or simply use the one that is generated.
Right after you enter a comment you should copy it on the Key passphrase field and also on the Confirm passphrase field.
When you fill the both fields listed above you should save your keys. By simply pressing the “Save public key” button you will be able to save the public key and by simply pressing the “Save private key” you will be able to save your private key.