This is PuTTY trying the various authentication methods (e.g. GSSAPI) and CentOS replying 'No thanks'.
To get rid of the error, you have to either disable PuTTY's extra authentication methods, or configure them in CentOS's sshd.
A Google search confirmed this to be an issue between PuTTY and CentOS:
For the “Access denied” problem.
Most of the time this is caused by the new GSSAPI option in Putty 0.61. Go to
Connection: SSH: Auth: GSSAPI an deactivate “Attempt GSSAPI authentication”
If that doesn’t help go to Putty log file by CTRL+Click on your Putty
session and open up the normaly hidden menue entry “Event log”. There
you should see what caused the access error.
Yes, that was it. Turning off the GSSAPI authentication eliminated the
“Access denied” error message for me as well. I still think that I
should update the OpenSSH software used by CentOS 5.6. It’s better to
be safe than sorry. ;)