Do you mean SFTP or FTPS?
For SFTP you need to enable libssh2-php on your server and link it to your PHP and restart your ssh, you can get the downloads here http://www.libssh2.org/
Once you install that you should automatically see SFTP/SSH option in your admin under “Connection”, though I believe there was some recent dev talk about dropping this from the core and making it into a plugin, not sure where that went.
There is a SFTP PHP server guide here that will work with WordPress or anything running on php, http://kevin.vanzonneveld.net/techblog/article/make_ssh_connections_with_php/