PuTTY não suporte nativamente, chave privada .PEM. É preciso usar o PuTTYgen para converter em .PPK
To convert your private key
From the Start menu, choose All Programs, PuTTY, PuTTYgen.
Under Type of key to generate, choose RSA. If your version of PuTTYgen does not include this option, choose SSH-2 RSA.
Choose Load. By default, PuTTYgen displays only files with the extension
.ppk. To locate your
.pem file, choose the option to display files of all types.
.pem file for the key pair that you specified when you launched your instance and choose Open. PuTTYgen displays a notice that the
.pem file was successfully imported. Choose OK.
To save the key in the format that PuTTY can use, choose Save private key. PuTTYgen displays a warning about saving the key without a passphrase. Choose Yes.
Specify the same name for the key that you used for the key pair (for example,
my-key-pair) and choose Save. PuTTY automatically adds the
.ppk file extension.
Your private key is now in the correct format for use with PuTTY. You can now connect to your instance using PuTTY's SSH client.