I left WinSCP option for the temporary directory alone, I was woundering where that temp folder is located? The reason why is because I downloaded a file useing the client and I can't find it? I have used the search for files and folders but no luck in finding it.
If there is any temporary directory left, WinSCP will offer to delete it on the next startup (by default, unless you have configured it not to do on Storage tab of Login dialog). That way you can know where it is.