WinSCP offers set of features to work with names of files and directory paths.
You can copy names of files selected in file panel to clipboard, either just names or full paths. Go to File(s) > File Names > Copy to Clipboard or Copy to Clipboard (Include Paths). The command is also available from file context menu.
To open Generate File URL dialog for selected files go to File(s) > File Names > Generate File URL.
See also an extension to generate HTTP URL.
You can also open directory whose path is stored in clipboard.
More advanced way how to execute remote command that works with names of files selected in file panel is custom commands feature.