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Authentication Progress
During authentication WinSCP will present you with authentication window to show you progress of authentication and to prompt you to enter your credentials or other information.
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Password
If you are using password authentication, you can enter your password directly on Login dialog. Otherwise WinSCP will prompt you once a server asks for it. You will be prompted again, if you enter invalid password. Also note that most of the servers will “prompt” for password when you use invalid username, not to allow attacker to learn if particular account exists.
Private Key Passphrase
If you are using public key authentication with encrypted private key you will be prompted to enter passphrase for your key.
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Keyboard Interactive
For keyboard-interactive, TIS or Cryptocard authentication methods the server can issue its own prompt. Most of the servers use keyboard-interactive authentication just as different method for getting account password. For the reason WinSCP by default responds to the first keyboard-interactive prompt with the password entered on Login dialog (if any). To disable this behaviour unset keyboard-interactive authentication option Respond with password to the first prompt.
As the server can generally prompt for anything, the answer can be quite long and may not be even secret. For the reason you can make it visible by unchecking Hide typing, so you can easier type it.