Cannot upload DSA private key for secure FTP

[nepdev]

Trying to set up a site with secure FTP.
In site manager, I choose SFTP for protocol, logon-type: KeyFile.
Clicking Browse, it is looking for PPK or PEM files.

The key I have has the extension .key, no idea what format it is in otherwise.
However, I cannot load it.
Trying to load it by specifying All Files in the File Browse window does not work - it seems to take
it, no error message, but the text box is not filled out with path + file name.
Renaming the file to PPK then to PEM, same result. Does not take the key but no error.

If I, on the contrary, take any arbitrary text file and try to load that it tells me "the file xxx could not be loaded or does not contain a private key".
This should mean that my key actually has been accepted - except it is not shown.
I also do not see that key added in the key listing (Edit > Options > SFTP), so it did not take it.

Does the key have to be in a specific format?
How do I check this, and how would I convert it?
I have not created the key myself, it has been given to me by the owner of the remote FTP site to use.

The file content starts as follows:

-----BEGIN DSA PRIVATE KEY-----
Proc-Type: 4,ENCRYPTED
DEK-Info: DES-EDE3-CFB

Another interesting point is that they said I should use the program FTPVoyager not FileZilla.
So I did and it works perfectly in FTPVoyager, so the key is okay.
But FTPVoyager is only available for Windows and I want to put the FTP client on Linux.

Anyone knows how the private key must be made to be accepted by FileZilla?

[botg]

Note hat the S in SFTP stands for SSH File Transfer Protocol.

Which version of FileZilla are you using?