Colours of directories in PuTTY is determined by the shell software on the remote machine, assuming you are running BaSH there are many pre-written configs to modify the colours available.
This is not a problem of putty. You can change the colors within the shell you are using on the remote host. In the special case of directory it is most likely the ls command on linux you want to change. Take a look at the man page of ls or bash.
There are some tools like picture grabber or icon grabber that allow you to generally replace the directory icons for every folder. Alternatively you can write an HMI for the dos based putty.
