The problem is that when there is nothing to download, the script stops and does not exit the CMD.exe dialogue.

That's not how WinSCP behaves on its own. It must be related to how you use/run WinSCP. We need a full example.

I have a batch file which downloads data from a directory.

The problem is that when there is nothing to download, the script stops and does not exit the CMD.exe dialogue.

This means that when checking every 5 minutes for data, I compound the number of cmd.exe dialogues on the screen.

I need a feature that when the system fails to find a file in the directory, the script is abandoned and I don't end up with a massive build up of cmd.exe screens