Selection/Deselection in WinSCP, by default, is "different" than in Windows Explorer (but this has changed in 5.0.0: "Explorer-style file selection with mouse is enabled by default in Commander interface.").
You can de-select a file, just like you selected it: Ctrl+Click it. I agree it's "odd" & takes time to get used to. There is also a "Clear Selection (Ctrl+L)" toolbar icon.
You can also change your selection preference, right now, to use "
Explorer-style selection".