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.
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.
I have documented this into more details at: