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http://www.chiark.greenend.org.uk/~sgtatham/putty/faq.html#faq-ssh2-keyfmt
A.2.2 Does PuTTY support reading OpenSSH or ssh.com SSH-2 private key files?
PuTTY doesn't support this natively (see the wishlist entry for reasons why not), but as of 0.53 PuTTYgen can convert both OpenSSH and ssh.com private key files into PuTTY's format.
To convert PGP keys for use with SSH you probably need something like openpgp2ssh
However, your system admin is being unhelpful. I'd give him or her the problem of supplying you with a key that can be used with Putty or I'd generate my own private key and SSH public key using Puttygen and ask the system admin to install the public SSH key in the necessary location on the server (as described in the man pages for sshd).
If you have a username and password for the server and the systems admin has not blocked password authentication in sshd on the server, you can follow these instructions and do it all yourself.
1Admin Says key is in PGP format, and in putty when i import this for conversion , puttygen shows error THAT key is not in putty format – Asghar – 2012-07-20T10:16:57.090
@Asghar: see updated answer. – RedGrittyBrick – 2012-07-20T10:34:30.127