The keys that were mailed to you were created using OpenSSH, and are not compatible with PuTTY. PuTTY has supplied tools to convert these keys to its format. The following are steps for converting these keys.
Make sure you know where you have saved the keys mailed to you. If they are still in a zip file, unzip them to some place you will remember.
Find and run from your “Start” menu “PuTTYGen”
Choose the “Load” button
You have two files, one with a “.pub” extension and one without. Find and choose the one without the extension.
Enter your passphrase when prompted. You may have a file called passphrase.txt with this information in it.
Change the “Key comment:” to something like “ROSS” or “NITC-NWCG”
Change the “Key passphrase” and “Confirm passphrase” (Please don't keep the original passphrase)
Select the “Save private key” button
Give the key a name in the dialog box. It should be in the same directory as the original keys.
You should delete the original files now. Your new key has an extension of “.PPK”