I get the same on Windows 7 Professional 64 bit (updates are always up to date), sometimes also on Windows XP Professional 32 bit.
This problem has really started annoying me actually. This often happens to me when switching between WinSCP and an IDE or text editor.
Often this "not responding" message by the operating system is just a matter of telling the operating system that it can do some processing like events, repaint, etc. This is handy in loops to run once in a while or while waiting for things to happen. C# uses "Application.DoEvents();" and maybe C++ as well. VB has something similar. Just put this into the WinSCP code on selected spots.
I have sent you an email.