You can find this command line tool under the WingFTP's folder, or you can download it here: https://www.wftpserver.com/bbsres/p15conv.zip
Usage: p15conv [sourcefile] [password] [destfile]
Here, [sourcefile] means the old PKCS#15 format key, [password] means the old key password, and [destfile] means the new key path, below is an example:

BTW, if you use the default ssh key "wftp_default_ssh.key" before, then WingFTP will convert it into PEM format automatically, but we highly recommend you generate a new ssh key, because it will be much more secure.