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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Authentication Banner
During authentication the server can issue authentication banner. It can contain various information, generally regarding security and server usage. After reviewing the text, press Continue button to continue.
If you want to avoid seeing the banner each time you login, check Never show this banner again. It will make WinSCP ignore the same banner for the particular account and server the next time. However if the banner content changes you will see it again. Suppression of banners can be restricted by system administrator.