On the WinSCP Login dialog, click the Advanced button, go to SSH > AuthenticationAuthentication, and in the Private key file box, browse for your private key file:
See also https://winscp.net/eng/docs/ui_login_authentication
If you do not have your key in the PuTTY .ppk
format, you will need to change the file filter to All private key files; once you select the SSH key, WinSCP will offer to convert the key for you, saving a copy of the key in .ppk
format.