You might find this little script I've written if this sounds at all familiar! I'm not sure why no one has done this before but this small script will happily take CSV based data in and spit out a windows registry format you can import to give you the saved putty sessions you are probably used to. The data should be provided in the following format:
(You may need to 'Show all content' if warned as this blog post used cross-site scripting to parse the PHP script. Blogger won't let me do it here!)Hostname,IPaddress,Protocol,PortNumber
EDIT: It appears my attempt to put the PHP in an object here hasn't really worked. You can view the script here: http://tinyurl.com/oave9j7