From the answer almost the same question at stackoverflow.com (by David Tischler):
Add the following to the [ui]-section of the mercurial.ini in your home directory:
[ui]
ssh = tortoiseplink.exe -ssh -i "C:\Users\UserName\mykey.ppk"
Or if you want to specify your ssh username, add
[ui]
ssh = tortoiseplink.exe -ssh -i "C:\Users\UserName\mykey.ppk" -l myusername
(assuming your key is in “C:\Users\UserName\mykey.ppk”).
Pageant (already mentioned by others) should work also (even though I haven’t tried it myself).
out of my memory 