It looks like as of this writing, the PuTTY Gen conversion code only accepts keys that use the AES-128-CBC
or DES-EDE3-CBC
ciphers. Otherwise, it will complain with a "unsupported cipher" error. (The latest release version at the moment is beta 0.67.)
For example, one of my private keys was using AES-256-CBC:
-----BEGIN RSA PRIVATE KEY-----
Proc-Type: 4,ENCRYPTED
DEK-Info: AES-256-CBC,xxxxxxx
Note that if your key is encrypted with a passphrase or has a MAC(?), you might only see a header like:
-----BEGIN RSA PRIVATE KEY-----
xx252xljbl.....
The "openssl" tool can be used to convert an existing private key to one of the acceptable formats above. Which of the two is another discussion, but hey, here is some insight.
openssl.exe rsa -in /path/to/your/private_key -out /path/to/your/new_private_key -outform PEM -des-ede3-cbc