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sFTP is set up already on most of the servers. If you let us know what your domain is or what server you are on, I can tell you for sure.
You don't really have to know beforehand if the server you are on has it or not. Choosing to use sFTP would be a preference in your FTP program.
Here is one that has the ability:
http://winscp.sourceforge.net/eng/
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