PuTTYgen is a key generator tool for creating SSH keys for PuTTY. It is analogous to the ssh-keygen tool used in some other SSH implementations basic function is to create public and private key pairs. PuTTY stores keys in its own format in .ppk files. However, the tool can also convert keys to and from other formats.
To create a new key pair, select the type of key to generate from the bottom of the screen (using SSH-2 RSA with 2048 bit key size is good for most people; another good well-known alternative is ECDSA). Then click Generate, and start moving the mouse within the Window. Putty uses mouse movements to collect randomness. The exact way you are going to move your mouse cannot be predicted by an external attacker. You may need to move the mouse for some time, depending on the size of your key. As you move it, the green progress bar should advance.