Amazon EC2 SSH Failed to connect "Bad File Number"

This is the command I am told to use by clicking connect in the control panel

ssh -i private_key.pem root@instancePublicDNS

Well, that one failed so I wanted to know what happen so I ran:

ssh -vvv private_key.pem root@instancePublicDNS

OpenSSH_4.6p1, OpenSSL 0.9.8e 23 Feb 2007
debug2: ssh_connect: needpriv 0
debug1: Connecting to private_key.pem [...] port 22.
debug1: connect to address ... port 22: Attempt to connect timed out without establishing a connection.
ssh: connect to host private_key.pem port 22: Bad file number

Any Ideas?
I have searched for the answer on Google and serverfault, I found a few possible solutions that did not work.

info about the instance

AMI-ID : ami-688c7801 ( ubuntu 10.10 Server )