SFTP Power BI Service

I am trying to create a cloud connection in Power BI Service using the SFTP protocol. However, Power BI Service does not recognize the connection even though it says it is online. The SFTP server is accessible using other tools like WinSCP. Can anyone provide the step-by-step instructions for creating this cloud connection using SFTP? I used the following format for the access address 200.xxx.xx.xx:yyyy/folder/ and I am not sure if it is correct either.