Generate .ppk out of .pem using PuTTYgen

First you must download PuTTYgen, you can download it from here.

Open PuTTYgen and select Load

Note that you must select All Files (*.*) from filter or you cannot locate the file. Click Open 

Next up "Save private key" should no longer be greyed out, click it and name your .ppk file.

And you are done!