With the SFTP protocol, you can press
Esc key to abort directory loading.
WinSCP, although a great program, is very slow when reading large directories (e.g. 300K files). Sometimes when one has regretted going into a directory (electing to use Putty instead), the only alternative to waiting for an hour is to kill the program from task manager. It wold be nice if there was a way to stop the reading of the directory. I do see an "X" there which is probably intended for that, but it seems to be greyed out when I would like to use it.