Before you can setup WinSCP with a key pair, you need to perform the necessary actions for putty key based access (see here).

So you should already have a private key somewhere on your directory structure. This provate key will now be added tou your WinSCP setup. Open the WinSCP programs, select the saved profile to which you want to add the private key: Then click Advanced to open the configuration window: Select Authenticate onder SSH. Now you see