Do you refer to the "keep remote directory up to date" function? If you do, that indeed WinSCP has the directory locked, it is implicit to the watch for changes functionality of Windows.

I've noticed a small bug while working with WinSCP (in background, remote dir synchro mode) and Eclipse IDE. WinSCP seems to put some kind of lock on folders, because while active eclipse can't move and delete some folder especially those just created in wrong place which we want to move into desired location. Until I turn off WinSCP eclipse gives me error about some program blocking access.