If you want to “jump a host”, then using “local proxy command” is an overkill. Recent versions of PuTTY have this build-in. Go to Connection > Proxy, and in “Proxy type”, select “SSH to proxy and use port forwarding”. Then specify the details of the intermediate server below (like Hostname, Port, Username, Password [or load your private key to Pageant]).
(It’s actually an overkill for OpenSSH too, as it has more user friendly options for this purpose too, see Does OpenSSH support multihop login?)
To answer your literal question: The equivalent in PuTTY is “local proxy command”. You can use the plink.exe with the -nc switch instead of the ssh with the -W switch:
The “local proxy command” is:
plink.exe %user@%proxyhost -P %proxyport -nc %host:%port
An alternative is to open a tunnel via the “MySshProxyServer” first using another instance of PuTTY (or Plink).
See for example:
- How to create SSH tunnel using PuTTY in Windows?
- My guide for tunneling SFTP/SCP session. It’s for WinSCP, but just use PuTTY instead of WinSCP in section Connecting through the tunnel.