Is it just I should add that dll in the object studio and then write a code stage?
Follow the instructions on the website. You will download a ZIP file from the website, which contains besides the DLL also a few other files, such as an WinSCP executable. You all extract them in the same folder
And indeed, then you refer to the DLL and write your code stages.
In the very rare cases that there is a weird error, it might help to move the extracted files all to your BP folder, but usually this is not needed & not recommended.
Good luck!