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Note when you save the private key its in format ".ppk"(Putty Private Key) this will only work in the putty client. If you need a private key without the putty format you can find it under Conversions.

The location to load your key in the putty client is in Auth on the left side scroll down and select Auth then browse for you key.

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Bitvise SSH Client

Instructions for Bitvise can be found here.