You may get this message when connecting to a server for following reasons:

• You are trying to use WinSCP for a purpose for which it is not designed. WinSCP needs a SSH or FTP server to be installed at the other end (on the machine you want to connect to). In particular, you cannot easily use it to connect to another Windows workstation, since Windows does not have an SSH or FTP server included by default. Please refer to FAQ.
• You are trying to use protocol that the server does not support. Particularly you are trying SFTP/SCP (over SSH), but the server supports FTP; or vice versa. Check selected protocol on login dialog.
• The server is running on non-standard port. Please make sure you enter actual port number on login dialog.
• You may need to connect through proxy server, but you have not specified one on login dialog.
• Connection was blocked by firewall. Please refer to FAQ.

If you are trying to use WinSCP to connect to your iPhone or iPod Touch, please refer to FAQ.