To use a .pem key with Putty, run PuttyGen. Select Conversions -> Import Key. Select the .pem file. Choose "Save Private Key" -- save to .ppk file.
To use with Putty, for your session, select Connection -> SSH -> Auth. Under "Private key file for authentication" browse for the .ppk file. Don't forget to save your session settings AFTER loading the key or you will have to do this every time.