There is a very good
tutorial in the LQ tutorials section. The writer used Slackware, but the commands should work on any distro. For Widows, if you did a full download of Putty, there is a key generation program that comes with it and instructions on how to set it up can be found on the Putty site (and you can always search and ask here if you run into trouble).
The only difficulty with the Putty keys is that it adds a lot of useless text that you have to remove and you need to put the key on a single line (remove all carriage returns). The ssh daemon is kind of picky about the key format in Linux, so you do have to be careful when editing the Putty generated key.