Here are some things to check:

1. Make sure you selected port 22 as the connection port.
2. Make sure you're using the IP, username, and password you were given on the SFTP page. These are different than the ones you use to login to our control panel or the game.
3. Try typing the username and password by hand -- don't rely on copy and paste, which sometimes picks up surrounding whitespace.
4. Make sure you installed FileZilla and not FileZilla Server.