Go to Windows Start menu → All Programs → PuTTY → PuTTYgen.
To create a new key pair, select the type of key to generate from the bottom of the screen (using SSH-2 RSA with 2048 bit key size is good for most people; another good well-known alternative is ECDSA).
Once the progress bar becomes full, the actual key generation computation takes place. This may take from several seconds to several minutes. When complete, the public key should appear in the Window. You can now specify a passphrase for the key.
You should save at least the private key by clicking Save private key. It may be advisable to also save the public key, though it can be later regenerated by loading the private key (by clicking Load).
We strongly recommended using a passphrase be for private key files intended for interactive use. If keys are needed for automation (e.g., with WinSCP, then they may be left without a passphrase.