Open your desktop wallet console (Tools > Debug console) and type the command:
importprivkey [private key]
(without the brackets). Wait for the wallet to import the key and scan the chain for any associated transactions. That should be it.
If your expected funds do not appear, go to Tools > Wallet repair and choose the second option, “Rescan blockchain files”. Your wallet will restart automatically and check again for transactions.
If your expected funds still do not appear, check the public address (the one starting with “P”) on the XP Explorer to make sure you have coins in it!