WinSCP OpenSSH-2 Error with Key

I was given a public key, however I get an error:

"The key contains the OpenSSH-2 format - Use Puttygen to convert your private key"

And puttygen wont let me convert the key either - it says couldn't load private key, file doesn't begin with OpenSSHheader.

Do I need to get a different key or can this one be converted to be used with WinSCP?

Where do you get the first error? Is it a literal wording of the message?

What does your key file look like? Show us the format.