Well, you can connect in active mode, if you are behind a router. But you need to specify your external IP address (as the server sees you) in WinSCP preferences.
See https://winscp.net/eng/docs/ui_pref_network
And you need to open your firewall for incoming data connections.
In passive mode the same setup has to be done on server-side. What is more common, as it's one-time configuration that allows any user to use the server. While in active mode, all users have to setup their firewall.
See https://winscp.net/eng/docs/guide_windows_ftps_server#firewall
I have documented this into more details at:
https://winscp.net/eng/docs/ftp_modes