You must open it from the PuTTYgen window by clicking Load, selecting the corresponding private key, and entering the passphrase. Save the authorized_key file and log out of the terminal. Open PuTTY ...

Keep in mind connecting this provides no GUI, if you need a GUI look into using FastX. PuTTY is a simple SSH client and terminal emulator for Windows. PuTTY also installs with PuTTYgen and Pageant ...