WinSCP's main window - Session tab allows you to input the hostname, port, username, password, private key file and protocol parameters for a SFTP/SCP connection.
WinSCP's main window - Stored sessions tab allows you to manage multiple sessions. From here you can create a shell icon (desktop or/and send to shortcut) for a connection.
WinSCP's main window - SSH tab allows you to setup SSH and encryption options. Here you can select the SSH protocol, enable/disable compression and change the encryption cipher selection policy.
WinSCP's main window - Preferences tab allows you select the program's interface. You have the option to switch between Norton Commander like (two panels) and Explorer-like interface.
WinSCP's Preferences window - Storage tab allows you to select where to store the configuration, select the temporary directory and the random seed file.
WinSCP's Preferences window - Editors tab allows you to select the default editor, internal editor options and whether or not to allow multiple remote opened files.