Russian punk band Pussy Riot have thanked Madonna for her support in a video posted online.

In a video posted on MTV's website, members of the band thank the pop star and burn President Vladimir Putin's portrait for what they call his suppression of feminists, sexual minorities and opposition.

The clip shows two unidentified band members wearing their trademark balaclavas and brightly coloured miniskirts climb down an abandoned building. Speaking in English, they lambast Putin and pledge to continue their "musical fight."

Three band members are serving two-year jail sentences received in August for their "punk prayer" at Russia's grandest cathedral, in which they asked the Virgin Mary to deliver Russia from Putin.

Their trial caused an international furore, and a string of Western celebrities, including Madonna and Sir Paul McCartney, called on the Kremlin to free the women.

The band announced the video on its Twitter account.