Do you have Stored session with the same name as WinSCP session in PuTTY and without private key?
If you do, WinSCP opens that session instead of copying its settings to PuTTY.

I logged in with private key file. WinSCP works perfectly, but as soon as I try to open putty session from winscp, putty is asking me of password. It should not do that, cause I would like to use private key authentication.