You will be prompted to select key pair to install. Use the command Tools > Install Public Key into Server to install a public key into OpenSSH server. After you save your new key pair in PuTTYgen, WinSCP will detect it and automatically insert a path to the new key file into Private key file box.
The command Tools > Generate New Key Pair with PuTTYgen starts PuTTYgen, in which you can generate a new private key pair. Use the button Display Public Key to display public key in a format suitable for pasting into OpenSSH authorized_keys file. If certificate file with the same name (but -cert.pub suffix) is found, it will be automatically added to the converted key file. If you select a key file in a different format (OpenSSH or ssh.com), WinSCP will offer you to convert the key to PuTTY format.
Use this method carefully and only under special circumstances. If you need to login to server automatically without prompt, generate a key without passphrase. The passphrase cannot be entered in advance in session settings and thus it cannot be saved to site.
