I attempted this with the DOS version of FTP as well. In that case I only need to login once, and I see my files. Filezilla also works properly for this site.
When I connect to an FTP site I can't see any files. I don't know much about FTP, so I'll talk about how it goes in IE.
Go to FTP site, and even if you put in login information it shows an empty folder. You then have to go to File --> Login as and put in your username and password again. Then I can see the contents of my folder. Is there a step I'm missing in WinSCP to do this properly?