When you are working with private (and public) keys generated by OpenSSH, you will have files called id_dsa and id_dsa.pub. These files can't be used in Putty directly. Instead they need to be converted to something else using PuTTYgen, also available from the Putty page. To do this, follow these simple steps. Lets assume you already have Putty installed on your Windows machine.
Your original private key (id_dsa) is now converted and saved as a putty private key. (id_dsa.ppk) There are now two things you might want to do, using it directly, or using it with an agent.
This is the simplest, but requires you to type your passphrase each time you are connecting to a machine.
You might want to use an SSH Agent like Pagent to store your key over multiple sessions. This will make your life easier when you connect to multipple machines. In order to do so:
One final note; on the machines you are connecting to, you don't need to change/convert any keys, simply use the public key (id_dsa.pub) as generate by OpenSSH in ~/.ssh/authorized_keys.