Is SFTP easy to use?...

hello all,
i seem to be having great difficulty making SFTP work for me.
when I try to connect to a remote FTP, i get this message:
A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.
to check is the server is working - i fire cute ftp and it connects just fine.
can some one advise me please on what i do wrong? i have tried connecting with ZA on and off - it makes no difference - all connections fail... may be some settings need tweaking, but i have tried the ones that i feel comfortable with and nothing has made change so far... can someone help me please