The Linux SSH client (typically OpenSSH) can’t read the PPK format used by the Windows SSH client Putty. You need to convert the “PPK” key given to you into an OpenSSH key first. Install “putty” on Linux and use the puttygen command line tool:
$ sudo aptitude install putty
$ mkdir -p ~/.ssh
$ puttygen ~/mykey.ppk -o ~/.ssh/id_rsa -O private-openssh
Enter your passphrase, and you’ll get an OpenSSH-compatible key in the standard location ~/.ssh/id_rsa. Afterwards you can just use ssh-add(without any arguments!) to add this key to the SSH agent.
Alternatively you can use the PUTTYgen program provided by putty on Windows.