Importing RSA Private Keys into GPG 2.0.10

[Andrew Robinson]

I'm trying to find a method to import an RSA Private Key into GPG,  
i've already god a generated RSA Private Key but when ever I try the  
import I get:
gpg: no valid OpenPGP data found.
gpg: Total number processed: 0

Which makes sense as it's not OpenPGP data thats in the file!  Is  
there any way of doing this or am I going slowly mad?!

Thanks,

Andrew