On Windows NT, 2000, or XP, the registry key to create or change is
and it must be of type DWORD. (See MS Knowledge Base articles 120642 and 314053 for more information.)
Set the key's value to something like 10. This will cause Windows to try harder to keep connections alive instead of abandoning them.
You can download the registry entry by right clicking and saving this link, then clicking on it once downloaded. putty_tcpfix.reg