There are 2 approaches
1. You can generate the Public and Private Keys for SSH on the Rasspberry Pi itself and copy the private key to your machine and use that private key with Putty
Related Guides to Generate Keys on the Raspberry Pi
Generating SSH Keys · github:help
How to Use RSA Key for SSH Authentication – Softpedia
setup – How can I protect against intrusion and malware before connecting it to the internet (especially on a public IP address)? – Raspberry Pi Beta – Stack Exchange
Note : These are generic guides but work on the RPi.
2. You can generate the Public and Private Keys using PuttyGen and copy the Public key to Raspberry Pi
This is a fantastic guide with loads of pics
Key-Based SSH Logins With PuTTY | HowtoForge – Linux Howtos and Tutorials
2.1 Private Key stays on your PC and will be used with Putty.
2.2 Public Key needs to be copied to “/home/pi/.ssh” and will be saved in “authorized_keys” file.
Note: The /.ssh folder might not be present in the user “pi” folder so you need to create it.
The contents of the “authorized_keys” file should look like this
ssh-rsa AAAAB3NzaC1yc2EA[...]Lg5whU0zMuYE5IZu8ZudnP6ds= firstname.lastname@example.org
Note: This is a very important step to format the content in “authorized_keys” file if you generated the Keys using Putty.
3. To change Passphrase Later
Working with SSH key passphrases · github:help
Logging into a Rasberry Pi using Public/Private Keys « Steve @ DynamicEdge
Raspberry Pi • View topic – Logging in via Putty and Secure Keys
Using PuTTY’s Key Generator To Manage Keys
Using PuTTYGen to generate SSH private/public keys | katsande.com