PuTTY .ppk private key format are supported. To authenticate using a .ppk private key, it should be possible to use the same code asfor .pem keys:
// create client and connect
Sftp client = new Sftp();
// verify the server's fingerprint (client.Fingerprint)
// load the private key
SshPrivateKey privateKey = new SshPrivateKey("key_rsa.ppk", "password");
// authenticate using the key
If this doesn't work, please let us know what kind of exception you get, we should be able to solve it. Does it fail when initializing the SshPrivateKey or inside the Login method?
If it's the Login method, a communication log produced using the Sftp object's LogWriter property (as described at http://www.rebex.net/kb/logging.aspx) might help - you can send it to email@example.com for analysis.