De FAQ da Putty :
To run a PuTTY session saved under the name ‘mysession’, create a Windows shortcut that invokes PuTTY with a command line like
\path\name\to\putty.exe -load "mysession"
--- EDIT ---
No Windows 7, o atalho deve estar entre aspas assim:
"\ caminho \ nome \ para \ putty.exe" -load "mysession"