Step 1: Creating the key
Create your SSH key in the Siteground panel. Give it a password and set a name for it. You can use the tutorial here: https://www.siteground.com/kb/access-site-ssh-connection/
You will need the ssh-add command which comes with the OpenSSH Authentication Agent Properties. To enable the agent, you need to open up the Services app (click on start and type Services for Windows 10+) then scroll through the list and make sure the OpenSSH Authentication Agent Properties is enabled.
After enabling it, you will be able to use ssh-add.
More information here: https://stackoverflow.com/questions/18683092/how-to-run-ssh-add-on-windows
Step 2: Connecting
To connect you will still need to have the OpenSSH Authentication Agent Properties enabled. After that, you can use the following syntax to connect:
ssh user@host -p port number / ssh test@host.com -p 1234
Usually, if everything is correct you are not prompted for a password, but if you are, you will need to provide the password that you added to the key when creating it.
Needless to say, the connection needs to be done through CMD or Windows PowerShell