You are probably a victim of Windows file virtualization.
Make sure you write the key file to a location you actually have a write access to. I.e. not to a Program files folder of WinSCP or PuTTY.

I generated a key pair and saved the private key in a file xxx.ppk. i communicated my public key to the server IT person. I am able to login, but only if i enter the Password for that site. I tried to specify location of the private key in the Advanced|Authentication parameters area. But windows explorer does not show this xxx.file even though it is set to show hidden files. I can see the key file if in PuTTYgen and even load it.

Any advice? thanks in advanced.