You cannot do this with WinSCP yet.
This request is tracked here:
https://winscp.net/tracker/14

Ok, I've made some progress now. Apparently, when specifying a directory, a slash has to be included after the directory as well eg "/dir/". This allows me to login directly to a directory, but when I try to specify a file as well, I get "the directory name is invalid".

I have been trying to figure out how to automatically open a remote file when connecting to a stored session by passing parameters to "winscp.exe" but when I specify the stored as per "stored_session/file_path/file_name", WinSCP brings up the file copy dialog instead of opening the file. Does anyone know what I am doing wrong?