@Levor: Better is to use 5.20 beta.

On the server side (Linux) you'll need to add this line to /etc/ssh/sshd_config, for WinSCP <= 5.19.x:

See official WinSCP post at:
Issue 1952 – Support rsa-sha2-256 and rsa-sha2-512 SSH public key algorithms

So did you follow this guide?
https://winscp.net/eng/docs/guide_windows_openssh_server#key_authentication

This is an SFTP server in Windows.

I cannot tell you what "config" to update, as you haven't even told us yet, what kind of server you are connecting to. If it is a common Linux with OpenSSH server, you need to add your public key to authorized_keys file on the server (not any local one).
https://winscp.net/eng/docs/guide_public_key#configure_openssh

Yeah so I did follow the link but I've already done all that. If you mean config file when you say configuration, it's in attachments. If you do not mean config file please explain what you mean, and sorry for not understanding.

Sorry, but I do not see an answer to my question, what did you do to configure the server to accept the key? From your description, it seems that you have made only some changes on your local machine. How can that get you authorized to access a remote server?
Did you follow the link in my previous post?

I checked logs as well and there are no errors or anything. I don't know how to share the logs since evtx files are not allowed here but it accepts the key in the logs and no errors.

Oh, and btw inside the authorized keys file I got this: ssh-rsa xxxxx

Hello, I used PuTTYgen to generate the keys. I have put the directories of the keys in attachments and also the configuration.

What did you do to configure the server to accept the key?
See https://winscp.net/eng/docs/guide_public_key#server

• Latest WinSCP version
  
• Problem has been there since I installed the program. (Not after update)
  
• Latest Microsoft windows version
  
• SFTP
  
• This happens when I try to login to the server, I have a private key and public key set up in a folder on my desktop. The public key is in the authorized keys file in the following path C:\Users\Valdemar\.ssh. And the private key is in a folder on my desktop at the following path C:\Users\Valdemar\Desktop\Keys.
  
• I can post logs but not sure which parts are dangerous to share in the logs.