1. Start up PuTTYgen.exe. The defaults of SSH-2 RSA and 1024 bit key should be fine.
2. Click Generate to make the key (moving mouse randomly over blank area).
3. Fill in the comment (me at example.com). Enter a passphrase. A passphrase is more secure, but you'll be prompted for it on every access (unless you use keychain or others).
4. Use PuTTYGen's button to save the public key on your PC (ex. c:\putty\keys\me-at-example.txt).
5. Use button to save the private key. You must use .ppk extension (ex. c:\putty\keys\me-at-example.ppk).