To generate a key with PuTTY, you should:
1. Download and start the puttygen.exe generator.
2. In the "Parameters" section choose SSH2 DSA and press Generate.
3. Move your mouse randomly in the small screen in order to generate the key pairs.
4. Enter a key comment, which will identify the key (useful when you use several SSH keys).
5. Type in the passphrase and confirm it. The passphrase is used to protect your key. You will be asked for it when you connect via SSH.
6. Click "Save private key" to save your private key.
7. Click "Save public key" to save your public key.
For more information on how to load the key and connect via SSH using PuTTY, please check this article.