The ssh-agent is a tool that can safely store your ssh-keys in memory and serve it when it is needed by an ssh session. And even more: The ssh-agent can be forwarded to other machines, so that if you open a new ssh session on a remote machine, the key can be fetched from the agent on your local machine.
And to make it a bit more tangible: If you are outside of the GÖNET and cannot use a VPN, you have to go through login.gwdg.de. If you use an ssh-agent and forward it through the connection, you can very easily then connect to the frontends, without the need to set up a jump-host or an ssh tunnel.
Additionally, you can also forward the agent to the frontends, if you need to connect to one of the compute nodes (you need to have a job running on it, of course).
The main implementation of an ssh-agent on windows is pageant, which is part of PuTTY. Once you add your key to the agent, it will be available for PuTTY, MobaXTerm and XWin32. It doesn't work with the native openssh terminal client, some documentation on that will come shortly.
Here is a short video on how to add your key to pageant and enable Agent forwarding in PuTTY: