PuTTY does not support OpenSSH's OpenSSH Private Key Format. You need to convert your OpenSSH's private key to a ppk or PuTTY Private Key to use the same key with PuTTY.
PuTTYGen or PuTTY Key Generator is a tool to manage private and public SSH key pairs on Windows. You can use it to convert OpenSSH's private key to the ppk format.
Step-by-step video guide:
Download
PuTTY Key Generator (
puttygen.exe) from the official website.

https://www.chiark.greenend.org.uk/~sgtatham/putty/latest.html
Launch
PuTTYGen.

Click on the
Load button.

Set the
Files of type to
All Files (*.*), select your
SSH's private key file and click on the
Open button.

Enter your key's passphrase if prompted and click on the
OK button.

A prompt will pop up once the conversion is successful, and click the
OK button.

Edit any key parameters if necessary and click on
Save private key.

Select the location and filename to save the generated key and click on the
Save button.

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