I know it's an old question, but I think it's still useful to add an alternative.
In addition to the accepted answer, which uses SSH on the remote side as a proxy, you can also use
plink (you can get it on the offical Putty site) as a local proxy.
In the options under Connection > Proxy you select 'Local' as the proxy type and as local proxy command you enter
plink "«session name»" -agent -nc %host:%port. Replace «session name» by the name of the Putty session you want to use as a proxy.
The reason I did it this way, is that I need a specific proxy for a lot of sessions. Using this solution I can easily change the settings of the proxy server in one place.
(I think you need a full path to
plink if the program folder is not in your PATH)
Please note that the approach is a little different from the accepted answer. Using my solution, you need to enter the final host name (the protected server you want to log in to) in the session settings. Using the accepted answer you'll enter the proxy server as the host name of the session.