First, there's nothing like "WinSCP SFTP server". WinSCP is an SFTP client. You server has nothing to do with WinSCP, apart from you using WinSCP to access it.

---

In general, you cannot make an SFTP server push files to another machine. Your friend has to setup some kind of synchronization on his machine.
He can use this script:
Keep local directory up to date (download changed files from remote SFTP/FTP server)

Me and my friend are creating a Fivem server for GTA, and we need to use WinSCP so we can both edit the server files when we need to put something in there. He made the server so he did a sftp on WinSCP and dragged the server files in the WinSCP, so I can see them and edit them. But whenever I add something it doesn't save to the actual server on his computer. How do I make it to where when I add or edit something to the files that it will save on his computer and be in the server?

How would I make it so when I edit something in WinSCP that it would download on his computer.

You are editing a file on the SFTP server. It won't automatically download to your friends machine. He has to download or synchronize it.

Do we need a vps because right now we are using a vds to login to WinSCP but it won't let it save the edited files I made changes to. Like the file I edited won't show up on his file explorer where the file that I edited is not changed at all.

My friend has a WinSCP SFTP server I connect to and whenever I edit a file he dragged into the WinSCP server it doesn't save on his file in the file explorer need help directly.