I’ll be honest it took me a few minutes to figure out where this was within WinSCP, I previously blogged about using WinSCP to upload files via powershell, in order to connect securely you should really save the ssh fingerprint.
In order to get the ssh key:
1) Open WinSCP and log into the FTP server in question.
2) Click Session
3) Click Server/Protocol Information
4) At the bottom of the dialogue you will see your servers fingerprint.
Hope that helps!