The correct answer was provided in comments by @Rohit Chatterjee:
openssl req -x509 -nodes -days 365 -newkey rsa:2048 -keyout myPrivateKey.key -out myCert.pem
Explanation:
The Azure portal asks for a PEM / CER as part of the VM provisioning
process (though one can provide a password instead). PuttyGen creates
a PEM from a PPK as this answer decribes, but the output is not
accepted by the portal. If I figure this out I will post an answer
here... – Rohit Chatterjee Jan 29 at 4:18 1 up voted
Ok, I followed the instructions at
azure.microsoft.com/en-us/documentation/articles/… and they worked.
Basically you run "openssl req -x509 -nodes -days 365 -newkey rsa:2048
-keyout myPrivateKey.key -out myCert.pem". The .pem needs to be uploaded via the Azure portal. (I'm not posting this as an answer
because I did it on my Mac, and the poster asked for a Windows
solution. Googling indicates that OpenSSL distributions for Windows
exist, but I haven't tried any.) – Rohit Chatterjee Jan 29 at 4:49
Also, the private key generated in my comment above - myPrivateKey.key
- needs to be imported into PuttyGen and converted to a PPK. Putty will not use the .key file. – Rohit Chatterjee Jan 29 at 4:51
1SSH keys are just keys, not certificates. Use a tool like xca to make certificates. – LawrenceC – 2015-05-07T19:37:28.860