Simple solution:
0) Move the remote files to temp remote folder to isolate files you are working with.

Complex solution:
Use XML logging to find out what files were downloaded in step 1) and delete only those files in step 3)
https://winscp.net/eng/docs/logging_xml

step 3 is delete remote files from remote folder

i have scheduled a window service to run every 3 minutes to process files uploading in winSCP folder.
now the steps used in the service is
1) copying remote file to local folder
2) process the files from local folder.
3) delete file from local folder.

now suppose a new file is being uploaded when the service is in step 2,

then what happens here is the new file which is uploaded is deleted in step 3.

is there any way to stop this.