If you get this error message while connecting to your server, it is most usually caused by the server not being able to run some process necessary to support your session. Possibilities are:

• Shell.
  • Your account may not be allowed to start a shell at all. With some servers (like OpenSSH or Sun SSH), you may need to be allowed to start a shell, even if using SFTP protocol.
  • Also some servers refuse to start a shell if your password has expired or your account was terminated.
  • Some shells do not work with non-interactive sessions. The same it true for some configurations (or profiles used) for otherwise working shells. This commonly exhibits with SCP protocol with associated error message "Error skipping startup message. Your shell is probably incompatible with the application (BASH is recommended)." Try to force bash shell explicitly on SCP/Shell tab of Login dialog. Using SFTP protocol instead of SCP is another option.
  • OpenSSH server may fail to start shell when chroot is configured, but not possible (e.g. due to permissions).
• SFTP server. Your account may not be able to start SFTP server binary (e.g. /bin/sftp-server) or the binary is not present on your server. Your SSH server may also lack the SFTP subsystem.

If you get this error message in a middle of the session, it is usually caused by some fatal error on server. The server error may possibly be initiated by error on client (WinSCP) side.

In both cases check log file of your server to see an actual reason, it closed connection for.