I've created a video tutorial for this. Just check:
Connect to Amazon EC2 file directory using FileZilla and SFTP, Video Tutorial
Summary of above video tutorial:
File > Site Manager Add a new site with the following parameters:
Host: Your public DNS name of your EC2 instance, or the public IP address of the server.
Protocol: SFTP
Logon Type: Normal
User: From the docs: "For Amazon Linux, the default user name is ec2-user. For RHEL5, the user name is often root but might be ec2-user. For Ubuntu, the user name is ubuntu. For SUSE Linux, the user name is root. For Debian, the user name is admin. Otherwise, check with your AMI provider."
Press Connect Button - If saving of passwords has been disabled, you will be prompted that the logon type will be changed to 'Ask for password'. Say 'OK' and when connecting, at the password prompt push 'OK' without entering a password to proceed past the dialog.
Note: FileZilla automatically figures out which key to use. You do not need to specify the key after importing it as described above.
If you use Cyberduck follow this.
Check this post if you have any permission issues.