Yes, you want to use an exit code of WinSCP.
But I have no idea what language/development environment you are using, so I cannot help you.

I am working with NAV 5.0 SP1 and I am using WinSCP in order to send/receive files from a SFTP Site. The programs is working just perfect but I got a question.

I need to identify whenever the programs finishes sending/getting file from my vendor SFTP. It seems the return code is the value I can use? But I don't really know how to.

This is how I call WinSCP.
retCode:=AwShShell.Run('Winscp /Console ' +
'/Script=' + TsftpSetup."Inbound Folder" + scriptFileName + ' ' +
'/Log=' + TsftpSetup."Inbound Folder" + logName,
wshMode,waitForEndOfCommand);

Any ideas?