You should have been asked to confirm server public key of the first connection. Once you have accepted that, WinSCP does not ask anymore.

I successfully generated the key pairs and configurated the private key in winscp and provide the public key to the sftp server side. It works fine for now.

But the question is: SFTP server side provide me a public key, which is generated on server side. How can I configurate the public key in the WinSCP client? or how can I use the public key to transfer files with the sftp server?

Thanks.