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Private key file
Rememeber that key file you selected when you configured your job flow? Now you need to select its private key file in PuTTY's SSH authentication screen. Select Connection\SSH\Auth from the Category tree view control on the left, then click the Browse button and navigate to the file.
The file will need to be in PPK format, conversion to which can be performed by the PuTTYgen utility that accompanies PuTTY, as described in the EMR CLI instructions. After you've selected the file, click Open to begin your SSH session with your EMR cluster.
Add host key
Right after you click the Open button, you'll probably see a scary-looking dialog like this one. But have no fear, as it's actually harmless. If you click Yes to add the server's host key to PuTTY's cache, you won't see this message again for this particular job flow.
You're almost there! When you see the "login as:" prompt in PuTTY's terminal window, enter "hadoop" (without the quotes) and tap Enter. That should log you in.