I needed a solution when I migrated to using Ubuntu most of the time. I wanted to be able to easily login via SSH or Filezilla so I needed to add an identity.
apt-get install putty-tools #Install Putty tools in Linux cd /my-putty-keys puttygen private_key.ppk -O private-openssh -o id_dsa #private key puttygen public_key.ppk -O private-openssh -o id_dsa.pub #public key
Of course you can change the output files to your preference (id_dsa and id_dsa.pub).
In windows this can be done by PuttyGen which is downloaded in the same page as Putty itself: