Go to your cpanel. Not sure how?
Once you're in your cpanel, click on FTP accounts.
Scroll down and under Special Accounts, find your main account. This is identified by the little male icon on the left hand side, under the type column.
Click Configure FTP Client
A new section will expand.
Click on SFTP Configuration File for the software that you are using.
Click on Instructions (new window) for details on how to use the SFTP configuration file. Using the configuration file means that you do not need to enter any of your site details into your ftp software, as the configuration file already contains all of those details.
Once you've done all that, you're in!