Once connected, you can see a “lock” icon on the status bar. When it is highlighted (yellow), your connection is secure, when it is grayed, your connection is insecure.
However, please ensure that the server you are connecting to is a secure server to start with - WinSCP only secures a particular file transfer session from server to client and from client to server. If you still have open FTP or Telnet port on your server, you are not safe!
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