Hello,
You can collect more information by adding the -v option to your command. This is the verbose output which will supply connection information.
sftp -v -i key user@server.
Did you install the client on the system? Or did you copy the sftp binary from another machine? If you copied, it is possible that you do did not copy all the necessary files, as sftp needs our sshdll.dl file to complete the connection. Please run an installation of our client on the system to make sure you get all the files.