Host key has nothing to do with your account private key.

For host key see:
https://winscp.net/eng/docs/faq_hostkey

Anyway, if you connect to FTP server (not SFTP server), it indeed has no host key. But you need to set the FTP protocol using SessionOptions.Protocol = Protocol.Ftp.
https://winscp.net/eng/docs/library_sessionoptions

I have tried to implement the scrit posted on the WinSCP page.

https://winscp.net/eng/docs/library_example_delete_after_successful_download

After much work I have at least got to the point where it is trying to negotiate with the host but I am now getting the Error "Host key wasn't verified!" I have rerun the puttygen.exe and created new public and private keys and entered the Key fingerprint into the $sessionOptions.SshHostKeyFingerprint field (hopefully that was the correct location). Is there something more I need to do? I have no idea how all of this works but I am guessing that the FTP server I am trying to connect to does not have the public key (totally guessing here).