Like numberwhun said...in windows, its completely depends on application to maintain the keys..
If you are familiar with putty.exe, it stores the sessions and keys in registry
HKEY_CURRENT_USER\Software\SimonTatham\PuTTY
And, if I am not wrong, please stop calling it as a "certificate".
Since we've never connected to this machine before, and SSH doesn't have the concept of a trusted third party like Certificate Authorities in the world of SSL/TLS, it's up to you to do all the key management yourself. Your client shows you the key fingerprint.
it is basically a server key.
more info:
http://www.securityfocus.com/infocus/1806