WinSCP now automatically converts the keys to PuTTY format. So it's quite easy for the user:
https://winscp.net/tracker/22
Anyway, the request for direct support of other key formats is tracked here:
https://winscp.net/tracker/1797

Putty formatted keys are difficult and the only reason people use them is because putty uses them. Every normal piece of SSH or SFTP software uses standard OpenSSH keys, and putty keys don't add any value other than making things more complicated by putting in a lengthy conversion process into the mix. The server you're connecting to will, more likely than not, want you to upload an OpenSSH formatted key. If it generates keys for you, it will likely be in OpenSSH format.

This means that anyone who uses WinSCP or Putty will have to jump through annoying hoops just to use key-based authentication.