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Open puttygen, and select File -> Load private key
Navigate to the folder where you stored the .pem file from Horizon, select All files (*.*) from the dropdown, and open the file
Press OK on the info popup
Click Save private key
Click Yes in the following warning. This warning will not appear if you actually specify a passphrase for your key
Save the private key. Be sure to use .ppk as the file extension
The .ppk you now have generated, can be used with PuTTy to connect to your virtual machines.