PUTTY - The server's host key is not cached in the registry cache

Error:

"The server's host key is not cached in the registry. You
have no guarantee that the server is the computer you
think it is.
The server's rsa2 key fingerprint is:
[SSH KEY FINGERPRINT]
If you trust this host, enter "y" to add the key to
PuTTY's cache and carry on connecting.
If you want to carry on connecting just once, without
adding the key to the cache, enter "n".
If you do not trust this host, press Return to abandon the
connection.
Store key in cache? (y/n) y"

Answer:
Simply run this command in your windows preferred terminal (cmd.exe etc) and agree to accept the host and store the cache:

C:\Program Files (x86)\PuTTY\plink.exe -ssh [SSH USERNAME]@[SSH HOST] -P [SSH PORT]

echo y | pscp -i /path/to/key/file user@remote:/tmp/file  .
echo y | plink -i /path/to/key/file scripts.sh

Usually you would hit “y” here, assuming the host key is correct, in order to store it in future connection. 
The storage of this goes into the Registry under HKEY_CURRENT_USER\Software\SimonTatham\Putty\SshHostKeys\

It should be store in 
HKEY_USER\Software\SimonTatham\Putty\SshHostKeys\