Let's say you have a PEM file that contains an RSA private key. The content of the PEM file should contain something like this.

-----BEGIN RSA PRIVATE KEY-----
MIIEpAIBAAKCAQEAl/qBJwMtUFnLns9cGCjnC1EKuWwwK+ItcLF7WoDOISxfmE/l
1TSBEos16nyqv6qMQOfNu/1sGJ8IHCWeqMuWJO4nY3RebOJ2jinw2aiLtMkzQjRQ
KGVs62h1VzLx2n8IVLXOSnEmTRRRpNIH5vWx2EEBtchtCXGiUcJIRt8Q1UVsfTbp
H7GvAVDqGMfnXqizqbGtfmDZTtAmq4JYReUUej1NnE8O8hLFNXqcrioo27puF8Ti
gPoTpp9p8ncidktd3NWck9jJGvEoaA3oxsKMgZGlPviMkhTv70Ovh7ShPpZ38ETB
7SkOcn6W4hbDHFqSihmrf0S7JaSN/RYKY2wVMQIDAQABAoIBADFOVkRf5X2iBEub
npc//eVP/5i0ntQ95twe2JQ+IaHlkYYKtdf71rw7adyPYZ4ZKLOOANMynrVGMw1e
-----END RSA PRIVATE KEY-----

Here is how you can create a PPK file using the PEM file.

Windows

1. Download and install PuTTYgen from http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html.
2. Start puttygen.
3. Ensure RSA is selected (since the PEM file contains an RSA private key in this example).
4. Select Load and select the PEM file.
5. Select Save private key button to create a PPK file.

Linux

On a Debian distribution (Ubuntu, Mint), apt-get can be used to install the putty-tool package.

apt-get install putty-tools

On a Red Hat distribution (CentOS, Fedora, Red Hat), dnf or yum can be used to install the putty package.

dnf install putty

And here is how you would create a PPK file using the PEM file.

puttygen example.pem -O private -o example.ppk