Newer versions of OpenSSH use a slightly different format for keys than the format used by CuteFTP Pro.
Convert the key using a utility like PuttyGen (for Windows).
Open CuteFTP Pro.
On the menu bar, choose Tools > Global Options. The Global Options window appears.
On the left side of the window, expand the Security group.
Select SSH2 Security.
Select the Use public key authentication check box.
In Public key path, type the path to, or click the folder button to browse to the public key you generated from the converted private key.
In Private key path, type the path to, or click the folder button to browse to the private key you converted.
CuteFTP Pro's SSH2 module creates ssh.com formatted RSA/DSA keys, based on UNIX and earlier OpenSSH releases. The IETF SECSH draft adhered to was: http://openssh.org/txt/draft-ietf-secsh-publickeyfile-02.txt.
Utilities like PuttyGen (for Windows) have the ability to import a user's private key and export to either ssh.com or OpenSSH format. CuteFTP Pro can load the key pair once it has been converted to the correct format.
If the problem lies in trying to get the server to use Pro's generated key, you may solve that problem by running the unix/linux keygen utility, which has the ability to convert keys into a format the server understands. Once converted, you should save the modified public key into the authorized_keys file.