One possible approach is to setup SSH tunnel and connect thru the tunnel.
For simple cases, you can setup tunnel directly in WinSCP. For more complex cases (non-default SSH settings, multiple hops, etc.) you need to setup tunnel using external tool, such as PuTTY.
See Tunnel tab on Login dialog.
Below, you will find description how to setup a tunnel using PuTTY SSH client and how to connect with WinSCP thru it. In the text, Server B stays for the target server and Server A stays for the server thru which you need to connect. Note that this is for illustration only, such a simple tunnel can be setup directly in WinSCP.
In PuTTY configure a session for Server A. I.e. particularly fill in Host Name. Then switch to Connection > SSH > Tunnels tab. And add new forwarded port:
Now start the session. Port forwarding starts to work only once you authenticate to Server A. Note that you need to keep the session open as long as you use the tunnel.
You can also setup a tunnel from command-line:
putty.exe <Server A> -L 3111:<Server B>:22
For more information see PuTTY documentation on port forwarding.
In WinSCP configure a session for Server B. Most setting will be like if you connect to Server B directly (username, password, etc.). The only differences are:
Save the session and login.