I am using Windows 10 and Wincsp 5.7.5.
I generated and saved the keys. When I try to authenticate my private key file Winscp does not see the key file I saved. I can't even see the file when I look at the folder I saved then in with file explorer. Not even looking with Window Powershell. When I open up the file explorer icon on the bar at the bottom of the desktop I do see them under recent files. But that is the only way I can see them. Although Putty does see them. But I need to load them for Winscp.
You have probably saved the key to Program Files folder using PuTTYgen.
Unless you run an application with Administrator privileges, you cannot write to Program Files folder.
Though, if Windows identify a program as "legacy" software (like PuTTYgen), it will seemingly allow the program to write the file even to Program Files, but it will actually write the file to user's profile folder.
"non-legacy" applications (like WinSCP or Windows Explorer) won't be able to see the file in Program Files folder (because it's really not there).
Make sure you save the key to your user profile folder instead. You should not write sensitive information to public location anyway!