This page describes how to access your virtual Linux machines from a Windows Client, using putty and puttygen. There's two ways to achieve this. In both cases you will need putty.exe and puttygen.exe (Download here). From the link, either choose the .msi or the two standalone .exe files
This page expects that you've followed this guide
Use the keypair created in Horizon
When you create a keypair in Horizon (the web GUI), you will end up with dowloading a .pem file. This file can not be used in PuTTy directly, and has to be converted to a format that PuTTy undertands.
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