I downloaded the client but I don't see any option to import a private key, any particular place I should look in?
You should see "help" at the top, hover over that and select debug window, then select console. Then you type in the console, "importprivkey" then add a space, and paste in the private key. Go to the recieving addresses to verify whether it worked or not. Make sure your computer is safe, and that you have a safe environment before importing the private key. If there's a particularly large amount of Bitcoin in the address, I suggest importing on a offline computer. A client which doesn't require downloading the blockchain would be a preferable option, if you aren't planning on using Bitcoin core and downloading the whole blockchain.
Here are the details about private keys, as well as an example format: https://en.bitcoin.it/wiki/Private_key
