Goto Cpanel
Goto SSH/shell access
generate key and download private key
I use RSA2 1024 bit because it's the same as puttygen so later just choose the middle one

download Puttygen
click load the key (if not shown select file type to all)
select RSA2 1024bit
then save private key

Troubleshooting - made a mistake on adding username... I thought the username was the username that I created but actually it's not... it's your cpanel account username then after adding the key then you add the username that was created