WinSCP does does support certificates for SSH. Actually there's no standard for use of certificates with SSH. Indeed, some SSH servers provide proprietary mechanisms for using certificates. Is that your case?
Or are you actually connecting to FTPS server (which use TLS that does use certificates and WinSCP supports that)?

My bank provided my company with a *.P12 private key and i don't think you support that format for keys. Do you and if you do then how do i set it up?

Dave Schoening