You may get this message when connecting to a server for following reasons:
If you are getting the error in the middle of session, it means that Windows network code killed an established connection for some reason. For example, it might happen if you pull the network cable out of the back of an Ethernet-connected computer, a DHCP IP address renewal fails or changes the computer’s IP address, or if Windows has any other similar reason to believe the entire network has become unreachable.
Windows also generates this error if it has given up on the machine at the other end of the connection ever responding to it. If the network between your client and server goes down and your client then tries to send some data, Windows will make several attempts to send the data and will then give up and kill the connection. In particular, this can occur even if you didn’t do anything, if you are using SSH-2 and WinSCP attempts a key re-exchange.
The problem can be caused also by the firewall. Try to disable it temporarily to see if the problem persists. Refer to FAQ.
If you find DHCPNACK errors in the Event Viewer, your DHCP server may be briefly denying your IP address, causing your existing connections to fail. Where possible, this can be addressed by reserving a specific IP address on the DHCP server (e.g. cable modem/router), setting that as the static IP address, and disabling the DHCP client service.
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