Network Tab (Preferences Dialog)

To use active mode with FTP protocol, WinSCP needs to know an IP address, via which the server can reach your machine. If you have a direct connection to the network, WinSCP can ask operating system for the IP address.

But if you are behind NAT router, it would return only the local network address. Then you need to check Use following external IP address and fill your external IP address in the box below. You can find your external IP address using many online services, like whatsmyip.net.