Enter to remote system with click
You can copy in the private key from your Windows system and place it in the .ssh subfolder of your user's home folder on the Mac. 

You can then use the private key when logging from the command line - having to enter the passphrase for the key every time (if you have a passphrase on it).

If you want to enter the password only once per boot, then run "ssh-add" to add it to your local agent.

If you want a more GUI oriented application you can use a program such as "SSH Shell" that you'll find in the Mac App Store.